Credit Exposure Measurement recruitment
Focused on calculating the PFE of live derivative trades, responsibilities include:
Providing credit risk exposures for non-vanilla transactions that cannot be risked by the Front Office or by the standard systems in place
Follow-up with a transaction override when the trade is executed
Acting as an interface between Front Office functions and Credit Risk sanctioning teams
To provide advice and structuring expertise to both Credit Sanctioners and Front Office in order to facilitate the execution of structured trades within risk appetite
To coordinate Haircut Committee and Independent Amounts
To monitor and manage issuer jump-to-default risk in the inventory across all trading desks (Single Name Issuer Risk)
Various Basel III compliance projects, including acting as the point of contact on behalf of the department for any assigned Basel III Credit Risk project streams.
The successful candidate should have:
An advanced academic background, ideally in a quantitative/mathematical area
Experience with Derivative trade flows across systems and infrastructure in various product areas.
Experience with either credit risk exposure measurement, market risk or product control
Understanding of a variety of traded products.
Well organised with ability to multi-task and prioritise in order to meet tight deadlines.
Strong attention to detail, delivering high quality work.
Proven analytical and problem solving skills
Proficiency in Microsoft Office applications, including Excel or Access.