Credit Risk Analyst, Credit Risk Analyst, 0 - 3 years

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Posts: 64
Joined: 03 May 2018, 19:38
Status: Offline

21 Jul 2018, 08:40

Departmental Overview

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 106. The groups within MCM are
  • Exposure Moves Analysis (EMA) team which validates credit risk exposure variances for daily, Weekly and monthly and adjusts exposure for regulatory RWA computation and Capital, Leverage & ICAAP reporting to PRA ,FINMA and Fed.
  • Scenario Exposure Analysis (SEA)function involves analysing counterparty Credit Scenario exposure moves on a monthly basis, providing commentary on valid moves & adjusting any incorrect strategically calculated exposure for submission to Financial Accounting (FA) group for both FINMA & PRA B3 reporting & for Credit Scenarios limit monitoring. Apart from this, the analysis on Scenarios RWA is used to determine the Credit Suisse’s capital requirements in stress situations. This function also involves the testing & sign offs on critical exposure methodology change projects (like CCAR).
PE moves validation 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.

Main Duties/Responsibilities Of The Role

As part of the CR -MCM, 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 analyse 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 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-securitised collateral, Shortcut Exposure Method, IOSCO, Capital Buffers under Dodd Frank Act, Leverage ratio in counterparty credit risk space is a must.

SPECIAL CIRCUMSTANCES (e.g. shifts, travel overseas, hours)

This team does not operate on shifts but the candidate is expected to understand the significance of timelines and respective deliverables



Graduate or Post-Graduate in Finance/Statistics/Economics/Sciences/Engineering/Mathematics

Desirable (Not must)

Completed or currently taking the CFA, FRM, Actuarial, PRM qualifications



0-3 years of work experience in a financial institution with good product knowledge and good understanding of Risk management tools and techniques

Link to apply, 21-07 = Credit Risk Analyst.txt
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