Job details
Traded Credit Risk - AVPA large regional bank are seeking an experienced Risk Professional to provide analytical and quantitative support to senior (Risk) management to monitor the traded credit risk products.Key Responsibilities:Enhance, maintain and document a model for the computation of Potential Future Exposure (PTE) and other analytics like EE, EEPE using Monte Carlo simulation across interest rate, foreign exchange, commodities, equities and credit derivatives.Develop methodologies for setting traded credit risk limits (pre-settlement and settlement) across derivatives and cash products.Assess the inherent market and liquidity risks in approved and proposed products.Ensure that traded instruments are authorized and appropriate for customers.Daily oversight over all aspects of the traded credit risk process, spot any gaps in the monitoring process and act as the point of reference for all traded credit risk issues by liaising with credit underwriting, the businesses, treasury, legal and credit administration.Scrutinize market risk conditions and perform stress testing of customer portfolios as required.Requirements:A strong Academic background in a quantitative field (preferably post grad level).A minimum of 7 years banking experience working for reputable (investment) banks with at least 4 years in a related area.Experience in working with a variety of asset classes and types of trading products, particularly derivatives; CVA Modelling experience is advantageous.Excellent programming skills across Matlab and/or C++.Good understanding of economic and regulatory capital related to counterparty risk exposure.Strong Communication and project Management skills.
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