Counterparty Credit Risk Role - BFSI

Market risk or Product control

Functional Expert Credit Risk 

Missions :

- Monitoring, Producing, Certification of Credit VAR and other Counterparty Risk metrics majorly for Trading books & reports & monitoring of counterparty limits overshoots, Regulatory Reporting, Validating & Back testing EAD (IMM Model) on Daily, Monthly & Quarterly basis.

- Recalibration of relevant & updated Market factors for Simulation.

- Understanding Counterparty Credit Risk framework & understating Regulatory Requirement for Credit risk & have a strong Operational governance to adhere to requirements.

- Work closely with Sales/Trader/RISQ to have a CVaR simulation

- Assist in development to maintain and enhance the existing process and procedures and guidelines

- Analyze & certify the limits under overshoot by checking Credit work flow been respected prior to trade with the counterparties and challenge for Evidence if required.

- Back testing to prove MTM & MTF arrived by the RISQ tools is as expected by benchmarking against BO & FO tools for spot & future time buckets, requiring to have strong product, Model & Risk Knowledge across different asset class and developing strong understanding of Front Office & back office tools

Profile:

Knowledge & Experience:

- 2 - 5 years of experience in Product control. Experience in Counterparty Credit Risk is an added advantage.

- Bachelor's degree.

- good to have skills: Perusing FRM or CFA.

- Good Product Knowledge across all Asset classes, Good model & RISK knowledge.

- Industry knowledge is preferred.

- Good understanding of FO & BO Tools.