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| Job Location | Pune |
| Education | Not Mentioned |
| Salary | Not Disclosed |
| Industry | IT - Software |
| Functional Area | General / Other SoftwareStatistics / Analytics |
| EmploymentType | Full-time |
Job OverviewKey Responsibilities As part of the CR PE Moves Analysis team members will be responsible for the below: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 perspectiveValidate 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 requiredAnalyze 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 analyzing the same for Default Risk RWA, CVA RWA and ICAAP reporting perspectiveIdentify 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 calculatorsSkills:Strong 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.Communication skills at all levels including ability to interact successfully with stakeholders outside team,
Keyskills :
creditriskmanagement stronganalyticalskills dataflow lifecycle creditrisk montecarlo spreadsheet riskmanagement primebrokerage regulatoryrisk analyticalskills inancialproduct