06/03 Rashmi Gaikwad
HR at Credit Suisse

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Credit Suisse - Assistant Vice President - Risk Management Reporter (6-10 yrs)

Pune Job Code: 672074

122421 - Risk Management Reporter - AVP

As part of the RFDP - Capital team member will be responsible for the below:

- To validate credit risk exposure calculation at a counterparty and a portfolio level across various business divisions like Private Banking, Prime Brokerage, ETFO, OTC Derivatives, FX, Repo, SLB, from regulatory perspective

- To validate end-to-end data flow and functioning logic of our proprietary Credit Risk Management tool

- To be able to re-compute credit risk exposures for data quality or methodology issues

- To analyse Potential Exposure/Expected Positive Exposure of traded products and provide qualitative commentary for Day on Day, Week on Week and Month on Month exposure moves

- Demonstrate Ownership of Potential Exposure & Expected Exposure outputs by analysing the same for Potential Exposure analysis, Default Risk RWA, CVA RWA

- Identify and facilitate resolution of issues leading to anomalous Exposure values and calculation of indicative exposures by using advanced simulation tools and models for factor based, sensitivity based (Historical simulation) and Monte Carlo (Taylor series approximation and/or Partial revaluation) risk calculators

- Develop practical solutions to regulatory requirements for Capital-related reporting

- Interaction with various partners like - Credit Analytics, Capital Reporting, Credit Risk Reporting, Credit Risk managers, data suppliers and process teams responsible for key data sources and processing

- Deep understanding of Basel3 regulations along with Margining, Wrong way risk, CCP default waterfall, Treatment of Re-securitised collateral, Shortcut Exposure

Qualifications:

- You have good analytical skills to identify the scope of issues and ability to provide appropriate solutions

- You are able to lead team of 4 to 5 analysts while reviewing BAU analysis, Tool requirements provided by team

- You are able to interact with project managers while providing requirement's for tools, reports which are required to run BAU analysis.

- You have the ability to handle challenging conversations & time critical deliveries

- You have deep knowledge of financial products across various asset classes

- You have deep understanding of life cycle of a trade and risk management concepts

- You have knowledge of Use ratio, IOSCO, SACCR, Standardized approach, Shortcut approach

- Knowledge of regulatory risk topics such as PE, RWA, EPE & EE from Basel 3 regulations perspective. Knowledge of Limits monitoring, Basel3 regulations along with Margining, Wrong way risk, CCP default waterfall, Treatment of Re-securitised collateral, Shortcut Exposure Method, IOSCO, Capital Buffers, Use ratio in counterparty credit risk space.

- You have the ability to work with large volumes of data using spread sheet and Database Query tools (MS Excel and Access)

- Knowledge of Impact of sensitivities change on derivatives portfolio valuation

- Experience of working with the output of finance and risk systems

- You are driven and strong personality able to move forward both existing processes as well as the related projects in parallel to each other

- You have strong communication skills including ability to interact successfully with partners

- You have prior experience of working with counterparty credit risk systems with Machine learning.

Women-friendly workplace:

Maternity and Paternity Benefits

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