Associate - Exposure Analysis

Ikya Human Capital Solutions Pvt Ltd
  • Mumbai
  • 10-15 lakh
  • 3-7 years
  • Views
  • 13 Dec 2016

  • Business Analytics

  • Banking - Retail
Job Description

Role & Responsibilities of the position in brief:

Validation of Counterparty Exposure and Capital numbers like -Potential exposure (PE), Effective Expected Positive Exposure (EEPE), NCAT and Risk Weighted Asset (RWA)

Understand and provide factor contributing for top movements in Counterparty Exposure and Capital numbers by working with Credit Analytics, Finance, Credit Risk and IT teams

Understand the trade booking and collateral treatment / operations by working with Front Office and Operations teams to understand the impact on exposure and Capital numbers

Work closely with PE development teams in understanding exposure calculations model and systems to explain variances in Counterparty Exposure and Capital numbers

Support credit risk managers in understanding exposure and capital impact in derivatives transactions

Testing and explaining impact of Back testing, Stress Testing on Counterparty exposure and capital

Provide sign-off for counterparty Exposure and Capital numbers at required frequency both at Legal entity and counterparty level

Participate in projects that enable improvement to exposure models

Publishing MI Reports at required frequency - Working on User Acceptance Testing, Documentation of models and processes


Competencies/Skill sets for this job

Stress Testing Transactions Derivatives Stress Projects Legal Entity

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