Counterparty Credit Risk - Exposure Move Analysis, AVP

Recruiter
Credit Suisse
Location
Pune, India
Salary
Competitive
Posted
04 Nov 2020
Closes
25 Nov 2020
Ref
8894495
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Credit Suisse is a leading global wealth manager with strong investment banking capabilities. Headquartered in Zurich, Switzerland, we have a global reach with operations in about 50 countries and employ more than 45,000 people from over 150 different nations. Embodying entrepreneurial spirit, Credit Suisse delivers holistic financial solutions to our clients, including innovative products and specially tailored advice. Striving for quality and excellence in our work, we recognize and reward extraordinary performance among our employees, provide wide-ranging training and development opportunities, and benefit from a diverse range of perspectives to create value for our clients, shareholders and communities. We are Credit Suisse.

We Offer
We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards

As part of the CRCO DM DQAM Capital team member, you will be responsible for the below:
  • Supervising the team which validates credit risk exposure calculation at a counterparty and a portfolio level for a given business line like Prime Brokerage, OTC Derivatives, Repo, ETFO,SLB, from regulatory perspective using different methodologies like SACCR, Monte Carlo, CEM etc.
  • Validating end-to-end data flow and functioning logic of our proprietary Counterparty Credit Risk Management tool
  • Re-computing credit risk exposures for data quality or methodology issues
  • Analyzing 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
  • Seek to demonstrate Ownership of Expected Exposure outputs by analysing the same for Potential Exposure analysis, Default Risk RWA, CVA RWA
  • Identifying and facilitating resolution of issues leading to anomalous Exposure values and calculation of indicative exposures by using advanced simulation tools and models for factor based, and Monte Carlo risk calculators
  • Developing practical solutions for regulatory exposure validations for credit risk related reporting across new regulatory changes like SACCR based Large exposure reporting,Leverage-Ratio, Reduced IRB, capital floor.
  • Coordinating with various business partners like - Credit Analytics, Capital Reporting, Regulatory Reporting, Credit Risk managers, data suppliers and process teams responsible for key data sources and processing


You Offer
  • Understand the value of diversity in the workplace and is dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work.
  • Post-Graduate degree in Finance/Statistics/Economics/Sciences/Engineering/Mathematics with completed CFA/ FRM/ Actuarial/ PRM qualifications with minimum 4 years of work experience in a financial institution
  • Outstanding product knowledge of derivatives and lending products, demonstrating deep understanding of Counterparty Risk management tools and techniques
  • Good analytical, problem solving skills as well as strong interpersonal ability that contributes to building strong positive relationship with business partners
  • Collaborator, self-motivated with a "positive can do approach"!
  • Supervising team of 4 to 5 analysts while reviewing BAU regulatory exposure move analysis, project deliverables like control requirements, UAT testing delivered by team. Driven and strong personality able to move forward both existing processes as well as the related projects in parallel to each other
  • Coordinate with project managers while providing requirement's for tools, reports which are required to run BAU analysis and ability to handle challenging conversations & time critical deliveries
  • Proficient in regulatory counterparty credit risk topics such as IOSCO, SACCR, Standardized approach, Default risk and Advanced CVA RWA, EPE & EE, Margining , wrong way risk from Basel 3 regulations perspective is must to have.
  • Work with large volumes of data using spread sheet and Database Query tools (MS Excel and Access). Prior experience of working with counterparty credit risk systems with Machine learning platforms is plus
  • Proficiency in Basel3 regulations along with Margining, Wrong way risk, Treatment of Re-securitised collateral, SACCR , IOSCO, Leverage-Ratio in counterparty credit risk space is a must.
  • Result oriented, dedicated, hardworking! Can work on own initiative whilst also working under pressure to deliver on time with a high level of integrity, sense of urgency, attention to detail and quality standards


Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.