AVP - Processes & Back Testing - BFSI

AVP-Processes and Back-testing

We offer :

- Collaborate in implementing methodology changes in WrongWayRisk and other strategic initiatives.

- Collateral haircut and margin period of risk (FCCM)

- Maintain and enhance the routing tables used to route trades to the most appropriate calculators.

- Other bespoke requests regarding exposure analysis for several audit or regulatory reports.

- Running and maintaining all tactical tools (in MS Access and MS Excel) for exposure measurement used globally. These tools are in place to

- Calculate counterparty exposures for particular product types,

- Update parameters that are used in counterparty exposure calculations

You Offer :

- Good MS Access skills

- Good VBA & SQL knowledge

- Should have experience with at least one of the following

- OTC Derivatives (At least one asset class), Secured Financing Transactions

- Pricing models

- Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)

- MBA/Analytical/Numerical degree

- Should have knowledge of basic programming, algorithm.

- Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.

- Being responsible for deliverables.

- Good Communication skills.

- Highly Detail Oriented.