CRMO - Exposure Analysis

Roles & Responsibilities:

- Validation of Counterparty Exposure and Capital numbers like - Potential exposure (PE), Effective Expected Positive Exposure (EEPE), NCAT and Risk Weighted Asset (RWA)

- Understand and provide factor contributing for top movements in Counterparty Exposure and Capital numbers by working with Credit Analytics, Finance, Credit Risk and IT teams

- Understand the trade booking and collateral treatment / operations by working with Front Office and Operations teams to understand the impact on exposure and Capital numbers

- Work closely with PE development teams in understanding exposure calculations model and systems to explain variances in Counterparty Exposure and Capital numbers

- Support credit risk managers in understanding exposure and capital impact in derivatives transactions

Qualification, Experience & Skills:

- Knowledge of Derivatives, Monte carlo Simulation, Counterparty exposure concepts, Regulatory regime.

- MBA / CA