Risk Analyst
Teamware Solutions (quantum leap consulting)
3d ago
source : Shine

As part of RFDP Capital, team members will be responsible for the below :

To validate credit risk exposure calculation at a counterparty and a portfolio level across various business lines like Prime Brokerage, ETFO, OTC Derivatives, FX, Repo, SLB, from regulatory perspective.

To validate end-to-end data flow and functioning logic of our proprietary Credit Risk Management tool

To be able to re-compute credit risk exposures for data quality or methodology issues.

To analyze Potential Exposure / Expected Positive Exposure of traded products and provide qualitative commentary for Day on Day, Week on Week and Month on Month exposure moves.

Demonstrate Ownership of Potential Exposure & Expected Exposure outputs by analyzing the same for Potential Exposure analysis, Default Risk RWA, CVA RWA.

Identify and facilitate resolution of issues leading to anomalous Exposure values and calculation of indicative exposures by using advanced simulation tools and models for factor based, sensitivity based (Historical simulation) and Monte Carlo (Taylor series approximation and / or Partial revaluation) risk calculators

Develop practical solutions to regulatory requirements for Capital-related reporting.

Interaction with various stake holders like - Credit Analytics, Capital Reporting, Credit Risk Reporting, Credit Risk managers, data suppliers and process teams responsible for key data sources and processing.

Good understanding of Basel3 regulations along with Margining, Wrong way risk, CCP default waterfall, Treatment of Re-securitized collateral, Shortcut Exposure Method, IOSCO, Capital Buffers under Dodd Frank Act, Leverage ratio in counterparty credit risk space is a must.

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