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Counterparty Credit Risk Exposure Move Analysis, ENO

Location Pune, India
Posted 12-August-2021

Your field of responsibility

As part of CRCO DM DQAM Capital, team members will be responsible for the below:

Validate credit risk exposure calculation at a counterparty and a portfolio level across various business-lines like Prime Brokerage, OTC Derivatives, FX, Repo, ETFO, SLB, from regulatory perspective using different methodologies like Monte Carlo, CEM etc.
Validate end-to-end data flow and functioning logic of our proprietary Credit Risk Management tool
Re-compute credit risk exposures for data quality or methodology issues.
Analyze EAD/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 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, capital floor.
Coordination with various business 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

The department CRCO Data Quality and Assurance Monitoring 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 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

The department values Diversity and Inclusion (DI) and is committed to realizing the firms DI ambition which is an integral part of our global cultural values

Your skills and experience

We are looking for:
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 deep understanding of Counterparty Risk management tools and techniques good analytics skills
Proficient in Basel Capital ratios, Standardized approach, Shortcut approach and regulatory risk topics such as RWA, EPE EE, Margining, Wrong way risk, Shortcut Exposure Method from Basel 3 regulations perspective.
Ability to work with large volumes of data using spread sheet and Database Query tools (MS Excel and Access) with basic VBA/Python/ R coding skills
Outstanding attention to detail, problem solving and interpersonal communication skills including ability to interact optimally with business partners
Understands the value of diversity in the workplace and is dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work
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 bank provides reasonable accommodations to qualified individuals with disabilities, as well as those with other needs or beliefs as may be protected under applicable local law. If you require assistance during the recruitment process, please let your recruiter know.

Awards & Accolades for MyTechLogy
Winner of
Top 100 Asia
Finalist at SiTF Awards 2014 under the category Best Social & Community Product
Finalist at HR Vendor of the Year 2015 Awards under the category Best Learning Management System
Finalist at HR Vendor of the Year 2015 Awards under the category Best Talent Management Software
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