Credit Exposure Measurement & Control

Analyst, Credit Exposure Measurement and Control

Job Description:

- Credit Exposure Measurement and Control (CEMC) pre deal team primarily support Sales, Structuring and Trading by advising pre-deal credit exposure (PFE and EE) for FX, FXO, IRD, Equity Derivatives, Credit Derivatives, Fixed Income and Commodities trades to enable traders to price in the credit risk on potential deals & check that they are not going to be in breach of credit limits.

- Quantify and advise pre-deal pre-settlement exposure for trade requests

- Provide advice on credit-exposure related issues to the Front Office – risk sensitivity/risk profiling/ risk mitigants/ risk quantification methodologies.

- Work with Credit Risk Analytics to develop haircut tools for Front Office and Exposure Mgt Team.

- Advice on haircuts / initial margins for financing or margined funds trades in accordance to Credit Policies.

- Help maintain & update static data framework used to generate PFE for the in-house risk system to work with Exposure Management internal partners.

- Provide regular updates on businesses/ market movement/events from the Asia region to the team internally.

- Contribute in team effort on Pre & Post Deal pre-settlement exposure for trade request from other regional locations.

- Assist the team internally to ensure all trade exposures are adequately calculated and captured on post-deal basis by liaising with the CEMC Monitoring team.

- Advisory on project whereby asset classes are added to the new Credit Risk reporting infrastructure which will consolidate all Credit exposures in a single reporting platform. Advice would be on trade representation in systems, trade pricing models, predeal check template design and default methodologies.

- Provide periodic transactional advisory to credit and business stakeholders

- In addition there are IMM governance responsibilities relating to Stress testing, Wrong-way risk and Back testing, Collateral modeling – candidate will need to be involved in one of these governance/development streams.

Key Roles & Responsibilities

- Understand products traded and credit risk implications

- Understand needs of different client/counterparty types and the nature of their business

- Understand documentation and use as risk mitigants

- Understand methodologies used in exposure calculation

- Supporting sales & trading, advising credit risk in timely manner to facilitate business

- Awareness of trading environment, market moves & potential impact on exposures.

- Awareness of regulatory environment change and increased sophistication required from Credit Risk systems and models.

- Appreciation for Credit Exposure calculation results on CVA, RWA, EL

- Ability to discuss risk results with Sales, Structuring and TCRM (Credit Risk)

Qualifications & Skills:

- Strong knowledge in derivatives products across asset classes (FX/Rates/ Equity/ Credit and Commodities)

- Awareness of trading environment, market moves & potential impact on exposures.

- Excellent communication skills both verbal and written

- Ability to work under pressure

- Have excellent attention to detail

- Be able to work in a global team

- Project management experience

- Expertise in programming language is not required but good to have

Freshers with good quantitative skills and understating of derivatives can also apply