Credit Risk Analyst, Pune

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ActuaryJobs
Member
Posts: 72
Joined: 03 May 2018, 19:38
Status: Offline

11 May 2018, 14:44

  • 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. 
This team does not operate on shifts but the candidate is expected to understand the significance of timelines and respective deliverables. Essential EDUCATION AND PROFESSIONAL QUALIFICATIONS Graduate or Post-Graduate in Finance/Statistics/Economics/Sciences/Engineering/Mathematics Desirable (Not must) Completed or currently taking the CFA, FRM, Actuarial, PRM qualifications Work Experience/Background Work experience in a financial institution with good product knowledge and good understanding of Risk management tools and techniques Technical/Business Skills & Knowledge 
  • 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

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ShikhaAgarwal
Jr. Member
Posts: 25
Joined: 22 Apr 2018, 14:57
Status: Offline

12 May 2018, 21:46

Non actuarial?

Sent from my SM-G611F using Actuarial Info mobile app

ActuaryJobs
Member
Posts: 72
Joined: 03 May 2018, 19:38
Status: Offline

20 May 2018, 14:10

Not a non Actuarial, anything that relates to quant is an Actuarial One! Credit comes accompanied with Actuarial!

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