As part of the CR PE Moves Analysis team members will be responsible for the below:
Validate credit risk exposure calculation at a portfolio level across various business lines like Prime Brokerage, ETFO, OTC Derivatives, FX, Repo, SLB, from a system, business and methodologies perspective
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 time to time as required
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 analysing the same for Default Risk RWA, CVA RWA and ICAAP reporting perspective
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
Overview of the department / team (team size, backgrounds, personalities ):
The RFDAR function organization is responsible for the data and production elements of capital reporting deliverables, accountable for the accuracy and timeliness of inputs provided for reporting purposes.
The MCM team is part of RFDAR with a current strength of 100. About PE MA team in specific -
The PE moves analysis team is aimed to validate & explain exposure moves and breaches on daily /monthly basis and provide trend report, commentary & indicative adjustments to exposures to credit risk managers and Credit risk reporting.
Challenges Contractor will be facing in this role:
Expert in able to judge impact Exposure Treatment by changing the exposure calculation method, for Eg. IMM to Shortcut, Shortcut to Standardized method.
Develop practical solutions to regulatory requirements for
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-securitised collateral, Shortcut Exposure Method , IOSCO, Capital Buffers under Dodd Frank Act, Leverage ratio in counterparty credit risk space is a must.
Essentials Skills and Qualifications:
Strong 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
Ability to work with large volumes of data using spread sheet and Database Query tools (MS Excel and Access)
Knowledge of regulatory risk topics such as RWA, EPE & EE from Basel 3 regulations perspective
Good understanding of 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.
Communication skills at all levels including ability to interact successfully with stakeholders outside team
Desired Skills and Qualifications:
Completed or currently taking the CFA, FRM, Actuarial, PRM qualifications