Analyst/Associate - Global Risk - Exposure Analysis & Capital Management - BFSI

Global Risk - Exposure Analysis & Capital Management - Analyst / Associate

Overview :

- The Credit Risk Management group is responsible for the credit analysis and monitoring of counterparties. The Credit Risk team at India is an important part of Global Credit Risk. It has two functions- Credit Risk Management and Credit Risk Middle Office.

- The Credit Risk Management supports Global Credit Risk teams by managing credit risk analysis for a diverse portfolio of counterparties across sectors and regions.

- Credit Risk Middle Office (CRMO) manages various tasks related to obligor, limit and instrument administration, exposure monitoring and reporting. CRMO is organised as three teams to perform these tasks

a) Data Management & Control

b) Exposure Analysis & Capital Management

c) Reporting

- The Data Management & Control (DMC) works closely with function like Credit Risk Analytics, Risk IT, Operations, Legal and other team to ensure integrity of credit risk data

- The Exposure Analysis & Capital Management is newly set-up team that will be responsible for validating peak exposure & capital of counterparties.

- The team is expected to validate Effective Expected Positive Exposure (EEPE) that are inputs to capital, Credit Risk NCAT (Firm's Economic Capital) and Risk Weighted Asset (RWA).

Role & Responsibilities of the position in brief:

- Validation of Counterparty Exposure and Capital numbers like -Potential exposure (PE), Effective Expected Positive Exposure (EEPE), NCAT and Risk Weighted Asset (RWA)

- Understand and provide factor contributing for top movements in Counterparty Exposure and Capital numbers by working with Credit Analytics, Finance, Credit Risk and IT teams

- Understand the trade booking and collateral treatment / operations by working with Front Office and Operations teams to understand the impact on exposure and Capital numbers

- Work closely with PE development teams in understanding exposure calculations model and systems to explain variances in Counterparty Exposure and Capital numbers

- Support credit risk managers in understanding exposure and capital impact in derivatives transactions

- Testing and explaining impact of Back testing, Stress Testing on Counterparty exposure and capital

- Provide sign-off for counterparty Exposure and Capital numbers at required frequency both at Legal entity and counterparty level

- Participate in projects that enable improvement to exposure models

- Publishing MI Reports at required frequency - Working on User Acceptance Testing, Documentation of models and processes

Key Skills:

- Knowledge of Derivatives, Monte Carlo Simulation, Counterparty exposure concepts, Regulatory regime.

- MBA / CA