Associate/Senior Associate - Credit Risk - BFS

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

- HC GWWR

- 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