Credit Risk Analyst - BFSI

1 - 4 Years

Pune

Posted 3 years ago

#Credit Risk #Risk Management #Credit Analysis #Portfolio Management #Prime Brokerage #Derivatives #FX #Basel #Banking

As part of , team members will be responsible for the below:

- Validate credit risk exposure calculation at a counterparty and a portfolio level across various business-lines like Prime Brokerage, OTC Derivatives, FX, Repo, ETFO, SLB, from regulatory perspective using different methodologies like Monte Carlo, CEM etc.

- Validate end-to-end data flow and functioning logic of our proprietary Credit Risk Management tool

- Able to re-compute credit risk exposures for data quality or methodology issues.

- Analyze EAD/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 Exposure outputs by analyzing the same for Default Risk RWA, Advanced CVA RWA.

- Seek to 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, and Monte Carlo based risk calculators

- Develop 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.

- Coordination with various business partners like - Credit Analytics, Capital Reporting, Credit Risk Reporting, Credit Risk managers, data suppliers and process teams responsible for key data sources and processing.

Qualifications:

We are looking for:

- Post-Graduate degree in Finance/Statistics/Economics/Sciences/Engineering/Mathematics

- 2-5 years of proven work experience in a financial institution with good product knowledge of derivatives and lending products, demonstrating a solid grasp of Counterparty Risk management tools and techniques & outstanding analytics skills

- Knowledge of Basel Capital ratios, Standardized approach, Shortcut approach and regulatory risk topics such as RWA, EPE & EE, Margining, Wrong way risk, Shortcut Exposure Method from Basel 3 regulations perspective.