Monitoring, Producing, Certification of Credit VAR and other Counterparty Risk metrics majorly for Trading books & reports & monitoring of counterparty limits overshoots, Regulatory Reporting’s, Validating & Back testing EAD (IMM Model) on Daily, Monthly & Quarterly basis.
Recalibration of relevant & updated Market factors for Simulation.
Understanding Counterparty Credit Risk framework & understating Regulatory Requirement for Credit risk & have a strong Operational governance to adhere to requirements.
Work closely with Sales / Trader / RISQ to have a CVaR simulation
Assist in development to maintain and enhance the existing process and procedures and guidelines
Analyze & certify the limits under overshoot by checking Credit work flow been respected prior to trade with the counterparties and challenge for Evidence if required.
Back testing to prove MTM & MTF arrived by the RISQ tools is as expected by benchmarking against BO & FO tools for spot & future time buckets, requiring to have strong product, Model & Risk Knowledge across different asset class and developing strong understanding of Front Office & back office tools
Knowledge & Experience
2 5 years of experience in Product control. Experience in Counterparty Credit Risk is an added advantage.
good to have skills : Perusing FRM or CFA.
Good Product Knowledge across all Asset classes, Good model & RISK knowledge.
Industry knowledge is preferred.
Good understanding of FO & BO Tools.