Reference 2600092F

Responsibilities

Responsibilities:

Monitoring, Producing, Certification of Credit VAR, EAD, SACCR, Leverage Ratio (BASEL II, BASEL III) 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 workflow been respected prior to trade with the counterparties and challenge for Evidence if required.
Back testing to prove MTM and MTF arrived by the RISQ tools is as expected by benchmarking against BO & FO tools for spot & future time buckets, requiring having strong product, Model & Risk Knowledge across different asset class and developing strong understanding of Front Office & back office tools.

Required

Profile required

Profile Required:
3+years of experience in Counterparty Credit Risk.
Bachelor's degree.
Qualified FRM or CFA/ Pursuing FRM or CFA with 1st level completed.
Good Product Knowledge across all Asset classes, good model & RISK knowledge, BASEL II, BASEL III
Industry knowledge is preferred.
Good understanding of FO & BO Tools.
Good working knowledge of SQL
Knowledge on Python will be an added advantage.

Why join us

We are committed to creating a diverse environment and are proud to be an equal opportunity employer. All qualified applicants receive consideration for employment without regard to race, color, religion, gender, gender identity or expression, sexual orientation, national origin, genetics, disability, age, or veteran status.

Business insight

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Whether you're joining us for a period of months, years or your entire career, together we can have a positive impact on the future. Creating, Innovating and taking action are part of our DNA.

If you too want to be directly involved, grow in a stimulating and caring environment, feel useful on a daily basis and develop or strengthen your expertise, you will feel right at home with us!

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Lead Expert-Market Risk