jobseeker Logo
Now Apply on the Go!
Download iimjobs Jobseeker App and get a seamless experience for your job-hunting
28/08 Rashmi Gaikwad
HR at Credit Suisse

Views:2185 Applications:192 Rec. Actions:Recruiter Actions:0

Credit Suisse - Credit Risk Analyst - (3-5 yrs)

Pune Job Code: 486705

Credit Risk Analyst - 101349

DIVISIONAL OVERVIEW :

The Chief Risk Office (CRO) mission is to protect the Bank's capital by establishing a strong control environment for the relevant risks. To this end, the division uses four primary functions to manage all relevant issues: Market Liquidity & Risk Management (MLRM), Credit Risk Management (CRM), Risk and Finance Data Analytics and Reporting (RFDAR), and Bank Operational Risk Oversight. The division also addresses critical risk areas such as business continuity and reputational risk management.

DEPARTMENTAL OVERVIEW :

The RFDAR function organization is responsible for the data and production elements of capital reporting deliverables, accountable for the accuracy and timeliness of inputs provided for reporting purposes.

The MCM team is part of RFDAR with a current strength of 106. The groups within MCM are

- Exposure Queries Analysis (EQA) team which conducts the root cause analysis of queries raised by stakeholders - all users of Credit Risk Exposure - to support the validation of exposure from the methodology and data flow standpoints and strategic remediation of gaps if any.

- Exposure Moves Analysis (EMA) team which validates credit risk exposure variances for daily, Weekly and monthly and adjusts exposure for regulatory RWA computation and Capital, Leverage & ICAAP reporting to PRA, FINMA, and Fed.

- Scenario Exposure Analysis (SEA)function involves analyzing counterparty Credit Scenario exposure moves on a monthly basis, providing commentary on valid moves & adjusting any incorrect strategically calculated exposure for submission to Financial Accounting (FA) group for both FINMA & PRA B3 reporting & for Credit Scenarios limit monitoring. Apart from this, the analysis on Scenarios RWA is used to determine the Credit Suisse's capital requirements in stress situations. This function also involves the testing & sign offs on critical exposure methodology change projects (like CCAR).

- The PE moves analysis team is aimed to validate & explain exposure moves and breaches on the daily /monthly basis and provide trend report, commentary & indicative adjustments to exposures to credit risk managers and Credit risk reporting.

MAIN DUTIES/RESPONSIBILITIES OF THE ROLE :

As part of the CR - EMA team members will be responsible for the below:

- To validate credit risk exposure calculation at a portfolio level across various business lines like Prime Brokerage, ETFO, OTC Derivatives, FX, Repo, SLB, from a system, business and methodologies 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 time to time as required

- Analysis of Potential Exposure/Expected Positive Exposure of traded products and provide qualitative commentary for a 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 Default Risk RWA, CVA RWA and ICAAP reporting perspective

- 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

- Providing subject matter expertise and analytics support to Finance and CVA team regarding risk and regulatory topics or initiatives

- Expert in able to judge impact Exposure Treatment by changing the exposure calculation method, for Eg. IMM to Shortcut, Shortcut to the Standardized method.

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

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

- Good understanding of Basel3 regulations along with Margining, Wrong way risk, CCP default waterfall, Treatment of Re-securitised collateral, Shortcut Exposure Method, IOSCO, Capital Buffers under Dodd Frank Act, Leverage ratio in counterparty credit risk space is a must.

Qualifications :

EDUCATION AND PROFESSIONAL QUALIFICATIONS:

Essential :

Graduate or Post-Graduate in Finance/Statistics/Economics/Sciences/Engineering/Mathematics

Desirable :

Completed or currently taking the CFA, FRM, Actuarial, PRM qualifications

WORK EXPERIENCE/BACKGROUND:

Essential :

At least 2 years of work experience in a financial institution with good product knowledge and a good understanding of Risk management tools and techniques.

TECHNICAL/BUSINESS SKILLS & KNOWLEDGE :

Essential

- Strong analytical skills to identify the scope of issues and ability to provide appropriate solutions

- Good knowledge of financial products across various asset classes

- Sound understanding of life cycle of a trade and risk management concepts

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

- Knowledge of regulatory risk topics such as RWA, EPE & EE from Basel 3 regulations perspective

- Good understanding of Basel3 regulations along with Margining, Wrong way risk, CCP default waterfall, Treatment of Re-securitised collateral, Shortcut Exposure Method, IOSCO, Capital Buffers, Leverage ratio in counterparty credit risk space is a must.

- Knowledge of Leverage ratio, IOSCO, SACCR, Standardized approach, Short cut approach

- Knowledge of Impact of sensitivities change on derivatives portfolio valuation

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

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

- Communication skills at all levels including ability to interact successfully with stakeholders outside team

Desirable

SQL knowledge

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

Add a note
  • Apply
  • Assess Yourself
  • Save
  • Insights (Read more)
  • Follow-up
    (Read more)
Something suspicious? Report this job posting.