• Within CMRM, the Counterparty Credit Risk (CCR) team is responsible for a number of activities related to the quantitative analysis of credit risk, policy implementations and exception management. The Credit Analytics team oversees the implementation of new credit models, vetting activities and analysis of the key measures used by The Bank to monitor and control credit risk. We further provide support to the front office’s ongoing credit related queries. This includes “what if” analysis on potential trades, sensitivity and close out risk analysis and identification of risk reduction opportunities.
Reporting to the Group Manager, Counterparty Credit Risk, this position plays a key role in the establishment and rollout of credit analytics across The Bank. The successful candidate will:
• Review daily counterparty credit risk exposures and investigate any credit anomalies by performing analysis of potential future exposure, credit value adjustments and various capital measures.
• Maintain an understanding of the regulatory landscape related to risk reporting and capital measures.
• Spearhead key initiatives for counterparty credit risk, and provide ad-hoc support to Front Office and Credit Management to facilitate trading of existing and new products.
• Assist in quantitative aspects of client risk policies involving credit exposures to counterparties.
• Build a detailed understanding of the various derivative and financing businesses which CMRM supports.
• Perform assessment and monitoring of counterparty credit wrong way risk in accordance with client risk appetite and credit policies.
• Provide ad-hoc data mining and risk reporting when required in support of internal and external requests.
• Self-motivated and well organized with a positive attitude.
• Ability to prioritize multiple tasks and deliver results in a fast-paced environment.
• Capital market – 3yrs*
• Strong quantitative background.
• Proficient in MS Excel.
• Knowledge of interest rate, FX, precious metal, oil & gas, credit and equity derivatives.
• Knowledge of data processing techniques and their application to management control information systems.
• Knowledge of Basel III, Dodd-Frank and emerging regulations.
Nice to have:
• Previous client