XCELYST - Counterparty Credit Risk Analytics Role

Counterparty Credit Risk Analytics

- 6 to 12 years of relevant work experience

- Graduation in -Commerce/Engg with certificates like CFA, FRM or/& CQF

- MBA in Finance/CA/CMA/CS and with any one or two levels of CFA,FRM

- Programming skills like Python, C++, R are perefered.

Our key responsibilities:

- 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

- In addition to technical competence, what will set you up for success is your ability to:

- Strong analytical, problem solving and critical thinking skills.

- Willingness to learn and continuously expand technical and business skills.

- Strong communication, presentation and writing skills in Knowledge of additional languages will be considered an asset.

- Excellent interpersonal skills and ability to work effectively within a team.

- Project management skills.

- Willingness and ability to travel and work abroad for international projects.