As part of the CR -RFDP, 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,etc.
Graduate or Post-Graduate in Finance / Statistics / Economics / Sciences / Engineering / Mathematics
0-5 years of work experience in a financial institution with good product knowledge and good understanding of Risk management tools and techniques.
Data Analysis using Excel and SQL.
Good analytical skills to identify the scope of issues and ability to provide appropriate solutions
Good knowledge of financial products across various asset classes
Sound understanding of life cycle of a trade and risk management concepts
Knowledge of Leverage ratio, IOSCO, SACCR, Standardized approach, Short cut approach
Knowledge of regulatory risk topics such as PE, RWA, EPE & EE from Basel 3 regulations perspective. Knowledge of Limits monitoring, Basel3 regulations along with Margining, Wrong way risk, CCP default waterfall, Treatment of Re-
securitised collateral, Shortcut Exposure Method, IOSCO, Capital Buffers, Leverage ratio in counterparty credit risk space is a must.
Ability to work with large volumes of data using spread sheet and Database Query tools (MS Excel and Access)
Knowledge of Impact of sensitivities change on derivatives portfolio valuation
Experience of working with the output of finance and risk systems
Driven and strong personality able to move forward both existing processes as well as the related projects in parallel to each other
Communication skills including ability to interact successfully with stakeholders