Credit Risk/Market Risk Role - Investment Bank

To validate credit risk exposure calculation at a counterparty and a portfolio level across various business lines like Prime Brokerage, ETFO, OTC Derivatives, FX, Repo, SLB, from regulatory perspective

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

- To be able to re-compute credit risk exposures for data quality or methodology issues

- To analyse 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

- Demonstrate Ownership of Potential Exposure & Expected Exposure outputs by analysing the same for Potential Exposure analysis, Default Risk RWA, CVA RWA

- 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, sensitivity based (Historical simulation) and Monte Carlo (Taylor series approximation and/or Partial revaluation) risk calculators

- Validate credit risk Credit Risk Scenario exposure calculation at a portfolio level across various business lines like Prime Brokerage, ETFO, OTC Derivatives, FX, Repo, SLB, from a system, business and methodologies perspective

- Analyse all Credit Scenario risk figures from Stress Testing perspective, to seek to improve cases where it is not appropriate, and manually adjust these figures for reporting purposes in cases where the system is unable to handle the scenario.

- Interaction with various stake holders like - Credit Analytics, Capital Reporting, Credit Risk Reporting, Credit Risk managers, data suppliers and process teams responsible for key data sources and processing.