Counterparty Credit Risk, Exposure Move Analysis

7 days ago

Pune, Maharashtra, India Credit Suisse Full time

Your field of responsibility
As part of the RFDP- Capital team member will be responsible for the below:

  • To validate credit risk exposure calculation at a counterparty and a portfolio level across various business-lines like Private Banking, Prime Brokerage, ETFO, OTC Derivatives, FX, Repo, SLB, from regulatory perspective
  • To validate endtoend data flow and functioning logic of our proprietary Credit Risk Management tool
  • To be able to recompute credit risk exposures for data quality or methodology issues
  • To analyse Potential Exposure/Expected Positive Exposure of traded products and provide qualitative commentary for Day on Day, Week on Week and Month on Month exposure moves
  • Demonstrate Ownership of Potential Exposure & Expected Exposure outputs by analysing the same for Potential Exposure analysis, Default Risk RWA, CVA RWA
  • 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 calculators
  • Develop practical solutions to regulatory requirements for Capitalrelated reporting
  • Interaction with various partners like
  • Credit Analytics, Capital Reporting, Credit Risk Reporting, Credit Risk managers, data suppliers and process teams responsible for key data sources and processing

Your future colleagues:


Risk & Finance Data Analytics and Reporting (RFDAR) organization will assume responsibility for the data, production and reporting elements of our capital & risk reporting deliverables, accountable for the accuracy and timeliness of input provided for reporting purposes.


The Risk & Finance Data Provisioning -Capital (RFDP-Capital) group is part of RFDAR which validates credit risk exposure variances for daily, monthly and adjusts exposure for CRM and for the purpose of regulatory RWA and Capital reporting to PRA, Fed and FINMA.


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 cultural values.


Your skills and experience

To excel in this role, you should possess:

  • Outstanding analytical skills to identify the scope of issues and ability to provide appropriate solutions
  • To be able to lead team of 4 to 5 analysts while reviewing BAU analysis, Tool requirements provided by team
  • To be able to interact with project managers while providing requirement's for tools, reports which are required to run BAU analysis.
  • Proven ability to handle challenging conversations & time critical deliveries
  • Good knowledge of financial products across various asset classes
  • Sound understanding of life cycle of a trade and risk management concepts
  • Knowledge of Leverage-Ratio, IOSCO, SACCR, Standardized approach, Shortcut approach
  • Knowledge of regulatory risk topics such as PE, RWA, EPE & EE from Basel 3 regulations perspective. Knowledge of Limits monitoring, Basel3 regulations along with Margining, Wrong way risk, CCP default waterfall, Treatment of Resecuritised collateral, Shortcut Exposure Method, IOSCO, Capital Buffers, Leverage-Ratio in counterparty credit risk space is a must
  • Ability to work with large volumes of data using spread sheet and Database Query tools (MS Excel and Access)
  • Knowledge of Impact of sensitivities change on derivatives portfolio valuation
  • Experience of working with the output of finance and risk systems
  • Driven and strong personality able to move forward both existing processes as well as the related projects in parallel to each other
  • Communication skills including ability to interact optimally with partners
  • Prior experience of working with counterparty credit risk systems with Machine learning platforms is plus
  • Result oriented, dedicated, hardworking who can work on own initiative and can deliver on time under pressure with a high level of integrity and flexibility, sense of urgency, attention to detail and quality standards
  • Dedication to fostering an inclusive culture and value diverse perspectives

Your new employer:

Find a new home for your skills, ideas, and ambitions. Credit Suisse offers you the ideal environment to progress your career, attractive benefits and excellent training.

We are a leading wealth manager with strong global investment banking capabilities founded in 1856.

Headquartered in Zurich, Switzerland, and with more than 45,000 employees from over 150 nations, we are always looking for motivated individuals to help us shape the future for our clients.

Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success. We are committed to building a culture of inclusion with a deep sense of belonging for all of us. We will consider flexible working opportunities where possible. Our b

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