AVP - Credit Risk Analytics - IT & Finance

AVP- Credit Risk Analytics (IT and Finance)

Job Responsibilities :

- Collaborate in implementing methodology changes in Wrong Way Risk and other strategic initiatives.

- Collateral haircut and margin period of risk (FCCM)

- Maintain and enhance the routing tables used to route trades to the most appropriate calculators.

- Other bespoke requests regarding exposure analysis for several audit or regulatory reports.

- Running and maintaining all tactical tools (in MS Access and MS Excel) for exposure measurement used globally. These tools are in place to calculate counter party exposures for particular product types,

- Update parameters that are used in counter party exposure calculations

Skills and Abilities :

- Good MS Access skills

- Good VBA & SQL knowledge

Should have experience with at least one of the following :

- OTC Derivatives (At least one asset class), Secured Financing Transactions

- Pricing models

- Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)

- MBA/Analytical/Numerical degree

- Should have knowledge of basic programming, algorithm.

- Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.

- Being responsible for deliverables.

- Good Communication skills.

- Highly Detail Oriented.