Credit Risk Reporting, AVP
The team is tasked with producing timely, accurate and complete credit metrics and to analyse reports and explains them. The team takes data and turns it into actionable information: swings in exposure and capital are reported along with explanation and advice; Risk managers, capital managers and FO businesses alike can rely on the team for quality information across the portfolio.
The roles reside within the risk control team charged with greatly enhanced risk delivery and quality control obligations, designed to ensure that the risk management function receives the level of service required for the Bank to operate within an increasingly demanding regulatory environment. The roles relate to both Derivatives (OTC and Exchange/CCP traded) and security-financing Trading Book transactions, as well as Banking Book positions. You will be working with a broad range of risk metrics, from Current Exposure (CE) to Potential Future Exposure (PFE), via Expected Exposure (EE) and Expected Positive Exposure (EPE) to mention but a few. As such an understanding of both Basel 2 3 concepts policy is important (e.g. EAD, PD, LGD, RWA, CVA).
You will be a self-starter; with the initiative to close knowledge gaps. You will have first-class communication skills; comfortable in communicating with Risk Managers/IT and willing to question existing processes in a tactful manner. Any exposure to business analysis, investigating issues and documenting findings will be advantageous.
With good derivatives derivatives product knowledge and an understanding of security financing trades you will be comfortable dealing with the key stakeholders/collaborators at all levels in a Credit Risk department.
An awareness of key banking book concepts as well as an understanding of Counterparty Credit Risk, metrics and associated data flows will be skills used daily.
Ensure data and system errors are spotted and remedied before data passed downstream to capital calculation and other key processes
- Enhance the control environment to ensure error spotting occurs at the earliest time possible
- Explain moves in key risk metrics whether market move, portfolio change or data/system error
- Identify and resolve data gaps: market, static, reference, trade
- Perform root cause analysis and identify resolution plans and owners for all errors
- Document issues and associated resolutions for use within the BAU team
- Design and implement controls to ensure timely issue identification and resolution
You will be an advanced user of both Excel and Access, ideally with an in-depth knowledge of VBA. Demonstrable experience in designing, building and automating reporting solutions would be highly advantageous.
- MS Excel/ MS Access/VBA Advanced/Expert user
- MS Access/VBA: Advanced/Expert user
- Proficient in SQL
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