Posted By
Posted in
Banking & Finance
Job Code
226017
Segment - Market Risk
Requirement
- Background in Counterparty Credit Risk and Stress Testing
Typical job description
1. Identification, design and recommendation of standard stress tests for trading book portfolios
2. Validate stress testing results from both valuation model and linear approximation approach
3. Development of spreadsheet tools to calculate the potential exposure for complex trades which cannot be supported by the in-house developed tools
4. Development and improvement of the models for calculation of potential exposure profile.
5. Generation of potential exposure profile to estimate counterparty credit risk for counterparty trades in different asset class FX, FID, Commodity, CRD.
6. Maximum potential exposure calculation to estimate counterparty credit risk for structured counterparty trades in different asset class (FX, FID, Commodity, CRD) for live trades.
7. Back testing of the counterparty credit risk to check the correctness of the models implemented.
8. Analyse market risk factors and define historical scenarios, forward looking scenarios, and event type scenarios
9. Ad-hoc tasks with other projects, e.g. wrong way risk, RWA optimization, OTC haircuts calculation, exposure measurement methodology enhancement
10. Liaise with the Risk Change teams to implement or sign off changes to the risk engine
11. Partner with different Risk groups across lines of business and relevant stakeholders for the stress testing methodology design, output usage and feedback and end-to-end activities
12. Building processes and improving current stress testing methodology to meet all business and regulatory developments and constraints
13. Enhance current counterparty credit risk stress testing framework for OTC derivatives, securities financing transactions and centrally cleared derivatives
Skillsets required
1. Must have prior work experience at a commercial bank, investment bank, or consulting firm.
2. Master's Degree in Financial Engineering or another quantitative discipline (or Equivalent), plus proven experience in Market Risk Management, Trading, Modelling, or related function. Possesses strong quantitative, analytical and problem solving skills
3. Strong written and verbal communication skills and ability to assess technical information and present key findings.
4. Demonstrate hands on experience in development and implementation of stress testing models and processes for PRA/ EBA/CCAR stress tests
5. Familiarity with Counterparty Credit Exposure management, including industry standard models used in support of the management of the exposure
6. Computer skills (SQL, R, Statistical Packages such as MatLab)
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Posted By
Posted in
Banking & Finance
Job Code
226017