VP - Counterparty Credit Risk & CVA Modeling - Big4

About Our Client

Our client is one of the world's largest Management Consulting firms with strong competence in areas like strategy, technology, operations and industry. They serve Global 2000 companies across diverse areas like BFSI, Healthcare, Telecom, Information, Entertainment, Media, Aviation, Technology, and Public Sector organizations.

Job Description

Our client is looking for a seasoned risk professional who will join the Counterparty Credit Risk Change team as a experienced Credit Risk Business Analyst to support complex changes required in the Counterparty Credit Risk systems related to OTC Derivatives.

Some of your responsibilities shall be to:

- Drive key programmes focused around delivering critical regulatory remediation and significant capital benefits

- Work with multiple stakeholders from key areas of the business such as Front Office Capital Management, Traded Credit Risk Management, Risk Capital and Risk Control Unit

- Be responsible for understanding the business needs, identifying business solutions and validating the pros and cons of technical solution options

- Define and document clear business requirements, functional specifications and testing strategies

- Provide significant input into the design and functionality of Credit Risk systems

- Communicate and explain the business needs and requirements to the development teams

- Work with the global development teams and users through the development lifecycle, including testing

- Plan and conduct impact analyses of functional changes on credit and capital measures

The Successful Applicant

- You are a Bachelors/Masters from a Tier 1 institution with a 12+ years of relevant experience along with certifications such as FRM, PRM, CFA

- Solid knowledge of Monte-Carlo simulations, collateral modelling, pricing of OTC derivatives, back-testing & stress testing concepts for counterparty credit risk, capital calculations under Basel III / CRDIV, etc

- Good experience within Investment Banking including strong traded-product knowledge

- Understanding Credit Risk management including methodology, processes and terminology

- Understanding RWA finance calculations in relation to trading book products including methodology, processes and terminology

- Demonstrate excellent communication and interpersonal skills

What's on Offer

Senior Management role in a leading Global Management Consulting firm and an opportunity to create impact in a high growth context. The firm encourages international mobility and is well regarded for its employee friendly culture and meritocratic policies