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Risk Management Reporter

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  • Banking & Finance
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Job Details

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 Credit Risk Calcs (CRC) team is part of RFDAR with a current strength of 90. The groups within CRC areExposure 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 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 analysing 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 daily /monthly basis and provide trend report, commentary & indicative adjustments to exposures to credit risk managers and Credit risk reporting.As part of the CR - EMA team members will be responsible for the belowTo 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 perspectiveTo validate end-to-end data flow and functioning logic of our proprietary Credit Risk Management toolTo 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 qualitativecommentary for day on day , Week on Week and Month on Month exposure moves.Demonstrate Ownership of Potential Exposure & Expected Exposure outputs by analyzing 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 calculatorsProviding subject matter expertise and analytics support to Finance and CVA team regarding risk and regulatory topics or initiativesExpert in able to judge impact Exposure Treatment by changing the exposure calculation method, for Eg. IMM to Shortcut, Shortcut to Standardized method.Develop practical solutions to regulatory requirements for Capital-related reportingInteraction 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 processingGood understanding of Basel3 regulations along with Margining, Wrong way risk, CCP default waterfall, Treatment of Re-securitized collateral, Shortcut Exposure Method , IOSCO, Capital Buffers under Dodd Frank Act, Leverage ratio in counterparty credit risk space is a must.You Offer At least 2 years of work experience in a financial institution with good product knowledge and good understanding of Risk management tools and techniquesStrong analytical skills to identify the scope of issues and ability to provide appropriate solutionsGood knowledge of financial products across various asset classesSound understanding of life cycle of a trade and risk management conceptsAbility 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 perspectiveGood understanding of Basel3 regulations along with Margining, Wrong way risk, CCP default waterfall, Treatment of Re-securitized 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 approachKnowledge of Impact of sensitivities change on derivatives portfolio valuationExperience of working with the output of finance and risk systemsDriven and strong personality able to move forward both existing processes as well as the related projects in parallel to each otherCommunication skills at all levels including ability to interact successfully with stakeholders outside team
Degree: MBA/ PGDM

Additional Degree: BA (Arts) | B.Com. (Commerce) | B.Pharm. (Pharmacy) | B.Plan. (Planning) | B.Sc. (Science) | BBA/ BBM/ BBS | BCA (Computer Application) | Diploma-Other Diploma | B.Ed. (Education) | BHM (Hotel Management)

Experience: 2-6


Portfolio/Fund Mgmt | Relationship Mgmt | Risk/Credit/Economic Analyst
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