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04/04 Rachita
Recruitment at Black Turtle

Views:3193 Applications:35 Rec. Actions:Recruiter Actions:0

Associate/Senior Associate - Credit Risk - BFS (5-10 yrs)

Mumbai Job Code: 682801

Associate/Senior Associate - Credit Risk - Exposure Analysis Counter Party PE/EPEE

Exposure Analysis : 

- Daily Exposure validation and analysis

- EEPE, PE, NCAT, Stress Testing, Current Exposure and LEQ

- Monthly Regulatory Capital sign-off process

- Global and EMEA

- Model maintenance

- PRISM adjustments and exclusions process

- Regulatory Controls

- Monthly MPoR process


- Quarterly Capital Shortfall [process

- Monthly Stress testing review and commentary

- Structured Repo process

- Adhoc Processes

Model/System releases testing

- Daily Stakeholder queries

Job Overview : 

- Specific support to Powai team lead and Global Head in relation to Credit Risk Exposure and Capital analysis

- Regulatory capital - EEPE & sEEPE monitoring and investigation / analysis / resolution of exposure exceptions or incorrect movements across all entities

- Understand trade bookings and types and evaluate how exposures will feed and impact into Credit Risk systems across metric

- Awareness of Monte Carlo simulations applied on Product silo's across trades for both OTC and SFT

- Be aware of valuation functions used in simulations across products and credit risk engine calculation logic

- Liaison with Credit Risk Analytics, Data Quality teams, Legal, Front Office

- Perform daily exposure analysis and validation on NCAT, Month End Reg Cap process, PE

- Conduct Monthly Stress Testing batch validation and provide comments on the effects of scenario's & sensitivities

- Data reconciliations / Data analysis

- Calculate exposures as per agreed logic with Credit Risk Analytics

- Identify gaps in exposure calculations by Credit Risk engines

- Participate and conduct UAT for System enhancements and releases and provide sign off

- Produce daily and monthly MIs

- Operate during London hours and be flexible for other regional coverage

Key Objectives Critical to Success of the Rol

- Be able to analyse and validate exposures across PE, EEPE, NCAT, LEQ, CE unaided

- Ability to coordinate own workload to ensure timely / accurate business-as-usual deliveries

- Ability to interrogate, investigate and identify gaps in exposure calculations

- Ability to investigate, analyse and resolve complex trade booking and simulation issues under compressed timescales

- Deliver on pressed and compressed timescales

- Provide assistance to senior members of the team

- Be a good team player and lead on resolving process gaps and controls

- Escalate gaps and key risk indicators and be a quick learner in picking up processes

- Highlight process issues or enhancements and work with team lead and provide suggestions in fixing them

- Fair understanding of Financial Products for E.g. Derivatives, CDS, Options etc.

- Knowledge of different exposure measures such as MTM / PE / EPE / credit limits

- Knowledge of Microsoft apps PowerPoint and Excel together with familiarity and comprehension of MS SQL

- Good understanding of end-to-end Monte Carlo simulations and Valuation function

- Understanding of Economic & Regulatory capital

- Experience on Stress Testing would be an add-on

- Be able to challenge trade types and booking issues

- Strong verbal and written communication skills

- Organisational skills, multi-tasking and detail oriented,

- Delivery focussed with the ability to work well under pressure and meet deadlines under compressed timescales

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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