AVP - Counterparty Credit Risk Analytics - Investment Bank

Currently hiring for a client based in Mumbai

Co Name: Leading Investment Bank

Designation: AVP

Profile : The team performs comprehensive pre-deal assessment of complex / structured transactions using quantitative/qualitative risk management techniques such as VAR, Potential Future Exposure (PFE), back-testing, scenario / stress testing, dynamic credit hedging & other risk enhancements, and identification of other non-trivial risks (liquidity, wrong-way, dislocation, concentration risk, gap risk). Scope encompasses:

- 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