Counterparty Credit Risk Quantitative Analyst (Senior Manager)
The Client: Our client is a leading worldwide financial consultancy service who are currently recruiting for their well-established Market/Counterparty Credit Risk team.
- Providing technical guidance and interpretation of risk regulation relating to Basel III (based on Basel 3, CRDIV, CRR, EMIR).
- Interpretation, impact analysis and preparation of (US and UK) regulatory capital standards related to Counterparty Credit Risk (CCR)
- Review and analysis of CCR frameworks including risk methodology, processes, systems and controls.
- 'Start to finish’ involvement with internal model waiver applications related to CCR
- Lead the review of EPE and stress testing methodologies related to CCR
- understand drivers/parameters of underlying CCR/CVA models
- Significant experience with calculation/measurement of (i) default fund capital contributions to CCPs and (ii)margining requirements (IM and VM) related to cleared / non- cleared business
- Basel III implementation including input into solution design, guidance on risk management and regulation and project management ensuring successful delivery.
- Project manage (work packages or the overall project) the implementation of small and large scale complex projects within CCR;
- To have a broader perspective of potential issues encountered when managing diverse teams and the strategies to overcome them; have a clear understanding of the firm’s commitment to creating a more inclusive culture
• Strong experience of Basel II/III in a financial institution with detailed understanding of Capital and Financial Risk and the relevant control techniques both theory and its application in practice.
• Experience with credit or market risk with a good understanding of traded market and credit risk exposure measurement (VaR, CVA, PFE, EPE)
• Good awareness of trading products to support the design and implementation of Basel III.
• Ability to provide considered views and impact assessment of current/emerging regulations on operations of Financial Services institutions
• Ability to provide examples of how industry is implementing relevant regulatory requirements and an awareness of the key challenges organisations face
• Experience of working in a Risk Management Function, a change function or within a management consultancy
• Sound people management skills and experience of developing and managing a team of professional staff.