Credit Risk Business Analyst – Investment Bank – Greenfield Quic Project – £650 per day recruitment
A leading investment bank is immediately seeking an experienced Credit Risk Business Analyst to join one of the bank's core projects of 2011/2012 and talented team based in the City.
The successful Credit Risk BA will be apart of the multi-millions pound Greenfield project to implement the brand new risk platform (Quic) across the entire business including Fixed Income, Equity, FX, Commodity, Credit, Rates and Exotics. The QuIC engine will be calculating both Credit Risk (including PFE) and Market Risk (including VaR and sensitivities).
The Risk Business Analyst with be responsible for gathering and documenting the reporting requirements from all the risk teams, initially focussing on credit risk. They will also be required to work with the developers on the technical specifications and participate in UAT once development has been completed.
Key Responsibilities:
- Work with the risk teams to document the requirements for Collateral Modelling Methodology
- Work with the risk teams to document the requirements for IMM Non IMM requirements
- Work with the risk teams to document the requirements for Market and Credit limits into Raptor
- Test credit risk reporting in Raptor and credit risk results from QuIC
- Work with the risk teams to document requirements in Raptor for aggregation of all trades eg from Murex Com for commodities EDGHyp for exotics.
- Ensure that all new Market Risk requirements are documented
Skills
Essential
- Strong credit risk analytic skills, with an understanding of PFE, EPE, backtesting collateral modelling
- Experience of working on large risk projects. They will task-orientated, be familiar to working to tight deadlines and be self-motivated.
- Experience of writing comprehensive tests cases and documenting via Quality Centre
- Regulatory Reporting - including Basel II III, RWA calculation, allocation of capital.
- Limit Management- including Limit Reporting, Tiered Limit management, systems for Excess management.
- Specification Writing - production of functional specifications
Desirable
- Experience of market risk across asset classes is also desirable with an understanding of VAR and Greeks
- Experience of Murex 2.11 Microsoft SQL Server