Capital Risk

4 months ago

Pune, India Credit Suisse Full time

Risk Management

English

**We Offer**

As part of RDM (Risk and Data Management) Capital, team members will be responsible for the below:

- Validate credit risk exposure calculation at a counterparty and a portfolio level across various products -OTC Derivatives, FX, Repo, Exchange traded derivatives, SLB, from regulatory perspective using different methodologies like Monte Carlo, SA-CCR, CEM, Value at risk etc.
- Validate end-to-end data flow and functioning logic of our proprietary Credit Risk Management tool
- Able to re-compute credit risk exposures for data quality or methodology issues.
- Analyze EAD/Expected Positive Exposure/Potential future exposure of traded products and provide qualitative commentary for Day on Day, Week on Week and Month on Month exposure moves.
- Seek to demonstrate 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
- Develop 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/Basel 3 Revised, capital floor.
- Coordination with various business partners like - Quantitative analysis and technology, Capital Reporting, Capital management, Credit Risk Reporting, Credit Risk managers, data suppliers and process teams responsible for key data sources and processing

Your future colleagues

The department Risk analytics and solutions function organization is responsible for the data and production elements of credit risk limit monitoring, capital reporting deliverables, accountable for the accuracy and timeliness of inputs provided for reporting purposes.

The team comprises of young and driven individuals with a strong flair for identifying and remediating data quality issues and exploring avenues to improve efficiency and quality benchmarks. The team values a learning approach and actively participates in cross-learning opportunities to gain expertise over different regulations and processes.

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.
- You Offer
- Post-Graduate degree in Finance/Statistics/Economics/Sciences/Engineering/Mathematics
- 2-5 years of work experience in a financial institution with good product knowledge of derivatives and lending products, demonstrating a solid grasp of Counterparty Risk management tools and techniques & outstanding analytics skills
- Knowledge of Basel Capital ratios, Standardized approach, Internal Model Methods, and regulatory risk concepts such as RWA, PE/EAD/EPE/EE, Netting, Margining, Wrong way risk, etc from Basel 3 regulations perspective.
- Ability to work with large volumes of data using spread sheet (Advanced Excel & VBA) and Database Query tools (SQL) with basic VBA/Python/ R coding skills
- Outstanding attention to detail, problem solving and communication skills including ability to interact successfully with business partners
- Dedication to fostering an inclusive culture and value diverse perspectives

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