Counterparty Credit Risk - Exposure Move Analysis, ENO

Credit Suisse
Pune, India
Nov 04, 2020
Nov 25, 2020
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Credit Suisse is a leading global wealth manager with strong investment banking capabilities. Headquartered in Zurich, Switzerland, we have a global reach with operations in about 50 countries and employ more than 45,000 people from over 150 different nations. Embodying entrepreneurial spirit, Credit Suisse delivers holistic financial solutions to our clients, including innovative products and specially tailored advice. Striving for quality and excellence in our work, we recognize and reward extraordinary performance among our employees, provide wide-ranging training and development opportunities, and benefit from a diverse range of perspectives to create value for our clients, shareholders and communities. We are Credit Suisse.

We Offer
We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standard
As part of CRCO DM DQAM Capital, team members will be responsible for the below:
  • Validating credit risk exposure calculation at a counterparty and a portfolio level across various business divisions like Prime Brokerage, OTC Derivatives, FX, Repo, ETFO,SLB, from regulatory perspective using different methodologies like SACCR, Monte Carlo, CEM etc.
  • Providing Monte Carlo exposure calculation tools requirements and test same tools in UAT phase.
  • Validating end-to-end data flow and functioning logic of our proprietary Credit Risk Management tool
  • Re-computing credit risk exposures for data quality or methodology issues.
  • Analyzing SACCR EAD/Expected Positive Exposure of traded products and provide qualitative commentary for Day on Day, Week on Week and Month on Month exposure moves.
  • Demonstrating Ownership of Exposure outputs by analyzing the same for Default Risk RWA, Advanced CVA RWA.
  • Seek to 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, and Monte Carlo based risk calculators
  • Dedicated to developing practical solutions for regulatory exposure validations for credit risk related reporting across new regulatory changes like SACCR based Large exposure reporting & leverage ratio, Reduced IRB , capital floor.
  • Interacting with various business partners like - Credit Analytics, Capital Reporting, Credit Risk Reporting, Credit Risk managers, data suppliers and process teams responsible for key data sources and processing.

You Offer
  • Understand the value of diversity in the workplace and are dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work.
  • A Post-Graduate degree in Finance/Statistics/Economics/Sciences/Engineering/Mathematics with completed CFA/ FRM/ Actuarial/ PRM qualifications
  • 2-4 years of work experience in a financial institution with good product knowledge of derivatives and lending products, demonstrating deep understanding of Counterparty Risk management tools and techniques & good analytics skills
  • Knowledge of Basel Capital ratios, IOSCO, SACCR, Standardized approach, Shortcut approach and regulatory risk topics such as RWA, EPE & EE, Margining, Wrong way risk, Shortcut Exposure Method,SACCR, IOSCO, from Basel 3 regulations perspective.
  • The ability to work with large volumes of data using spread sheet and Database Query tools (MS Excel and Access) with basic VBA/Python/ R coding skills
  • Outstanding interpersonal, written and verbal communication skills
  • Can interact successfully with business partners and are driven with a strong personality, able to move forward in both existing processes as well as the related projects in parallel to each other
  • A positive can do approach!
  • Result oriented, dedicated, hardworking who can work on own initiative and can deliver on time with a high level of integrity and flexibility, sense of urgency, attention to detail and quality standards

Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.
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