EY - Counter Party Credit Risk Role

The candidate will be performing duties related to all aspects of Counterparty Credit risk Domain including but not limited to supporting our clients in counterparty credit risk management, CCR exposure model development, Validation and monitoring, Derivatives Pricing, Stress testing framework, RWA and capital Optimization, CtB and RtB roles and responsibilities which includes FRD, BRD, UAT testing etc, Interpretation of trading book regulatory rules for various Jurisdictions, impact assessment as well as overall traded risk management frameworks and controls.

- Strong business understanding of Derivatives (OTC, ETD and Cleared) and Securities Financing Transactions products

- Able to demonstrate SME skills on Various Credit risk exposure computation methods such as SA-CCR, CEM and IMM

- Strong Understanding of Credit risk metrics such as EE, EPE, PFE, etc

- Understanding of Valuation adjustments such as CVA, DVA, FVA etc

- Good understanding of Basel Norms-III and IV

- Understanding of various RWA Approaches per Basel norms

- Understanding of Credit Risk mitigation techniques- Collateral, Netting, ISDA rules etc

- Knowledge of Market risk concepts-VaR, ES, IRC etc

- Knowledge of Derivatives Pricing and Valuation Models

- Understanding of Collateral Modelling for Variation Margin and Initial Margin

- Working Knowledge of Accounting and Regulatory CVA

- Understanding of Monte Carlo as well as Numerical methods for derivative pricings

- Good understanding on the CCR exposure model validation

- Good to have an experience of Python for risk analytics