Credit Risk Reporting AVP
A Tier-1 investment bank is seeking strong candidates to join their growing Counterparty Control and Control Governance area within the Credit Risk Reporting team. The CRR Day 1 Production team is tasked with producing timely, accurate and complete credit metrics for use within the risk function, downstream and externally
The role relates to both Derivatives (OTC and Exchange/CCP traded) and security-financing Trading Book transactions, as well as Banking Book positions.
Strong Candidates will currently be in a Credit or Market Risk role, 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).
Business Requirements:
- 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
- Strong derivatives product knowledge
- 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.
- Understanding of Basel 2 3 concepts policy is important (e.g. EAD, PD, LGD, RWA, CVA).
Personal Requirements:
- Persistent, diligent and able to accept and drive forward change
- Focus on delivery of both strategic and tactical solutions to Reporting and Data Quality issues
- Able to manage small, focused teams organized on Products/Industries/Systems lines
- Collegiate in attitude towards decision making; a team player able to interact with all customers of the team
- Committed to the delivery of high quality project work in a relatively unsupervised environment
- Solid understanding of the theoretical and practical side of risk management
Technical Experience:
- MS Excel/ MS Access/VBA Advanced/Expert user
- MS Access/VBA: Advanced/Expert user
- Proficient in SQL
- Exposure to MS SharePoint Services advantageous
- Sourcing data from multiple systems, databases, files and other sources
- Extensive use of SQL and VBA to design, build and automate extraction and validation processes
- Designing, building and automating reporting solutions using common desktop tools, upsizing to strategic solutions where necessary
Preferred Qualifications:
- FRM/PRM/CFA
- CA/ACCA preferred
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