Counter Party Credit Risk Role - BFSI

Responsibilities :

- Conducting model development, independent reviews/validation of the newly developed Counterparty Risk models and methodologies and changes to existing models

- Work with the internal team on some of the niche area in designing analytical framework, automation solutions for market risk, pricing or Counterparty models using open source like Python and R

- Write model risk management technical documents (validation report, development and monitoring report) that will be presented to client's stakeholders and respective regulators.

- Provide subject matter expertise and support business

- Deliver high quality client services, including work products, within expected timeframe and budget

- Develop and maintain effective relationships with clients and team members

- Participate in large scale client engagements/projects, meetings, PoC's, RFP's etc.,

Key Skills :

- Minimum 4 years of Financial services experience in counterparty credit risk modelling/validation

- Knowledge of Counterparty Credit Risk, Exposure calculation methodologies (simulation, aggregation, limit monitoring). Experience of implementing both Modelled and Non-Modelled calculation algorithms.

- Previous experience of validating counterparty exposure on a daily, monthly, and quarterly basis using various metrics including Exposure metrics (PFE, EPE, EEPE, EAD etc) and VAR computation using both Internal Model (IMM) and Standardized approaches like CEM.

- Hands-on Experience of Exposure Calculation (EAD/PFE) at the Portfolio level for both Modelled (IMM) & Non-Modelled (CEM/SACCR, Credit VAR, CEF) transactions.

- Experience in developing/validating methodology for quantitative analysis required on various work streams.

- Hands-on experience on simulations, stability of model outcomes, benchmarking, stress testing, scenario and sensitivity analysis.

- Strong data management and programming (Python, R, SQL) skills

- Good knowledge of Numeric, Murex, Bloomberg, etc.,

- Ability to work independently.

- Strong communication and presentation skills and SR 11-7 compliant model documentation skills