Senior Credit Analysis and Reporting – Investment Bank

Key responsibilities

• Validating credit risk exposure calculation at a counterparty and a portfolio level across various business divisions like Prime Brokerage, OTC Derivatives, FX, Repo, ETFO, and SLB from Internal limit monitoring perspective using different methodologies like Monte Carlo, Historical Simulation etc.
• Providing Monte Carlo exposure calculation tools requirements and test same tools in UAT phase.
• Validating end-to-end data flow and functioning logic of our proprietary Credit Risk Management tool.
• Re-computing credit risk exposures for data quality or methodology issues.
• Analyzing Potential Exposure/Current Exposure of traded products and provide qualitative commentary for Day on Day, Week on Week and Month on Month exposure moves.
• 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.
• Interacting with various business partners like – Credit Analytics, Credit Risk Reporting, Credit Risk managers, data suppliers.