AVP - Counterparty Credit Risk Analytics - CRPM Group - Investment Bank

Currently hiring for a client based in Mumbai

Co Name: Leading Investment Bank

Designation: AVP

Profile : The overall CRPM group is also responsible for stress testing of the counterparty derivatives portfolio and for reviewing stress test methodology including shock calibration, defining bottom-up counterparty specific scenarios as well as top down historical / research based macro scenarios. The results are presented to credit officers, senior management, as well as to regulators. The group also performs ad-hoc stress/scenario analysis showing impact of various market events on the counterparty derivatives portfolio.

- Perform analysis of credit risk of individual derivative trades, typically structured, across all products in the firm - fixed income, equities, commodities, emerging markets, asset-backed and foreign exchange for transaction approval and counterparty portfolio assessment.

- Pre-deal trade level initial margin calculation for derivatives & collateral haircut calculation for complex financings

- Review portfolio based prime brokerage (Rates, FX, Equities, Credit), Wealth Management Advance Ratios, and clearing house (CCP) margining methodologies

- Daily interaction with credit officers and front office sales, structuring and trading to discuss trade structures

- Perform ad-hoc scenario analyses and stress tests across portfolios of counterparties and business lines.

- Participate in discussions of risk mitigation for large complex transactions.

- Active involvement with CCR Pre-Deal colleagues globally on transactions, methodology/tool development, and other strategic initiatives