Manager – Counterparty Credit Risk Oversight recruitment
- Challenging Rewarding Role
- Career Opportunity
- Sydney CDB
At NAB, it's all about our people reaching their full potential. And in Wholesale that means using our global strength to connect promise with leadership.
Reporting to the Head of Market Risk Oversight, FX and Commodities, the purpose of this role is to build and standardise the oversight of Counterparty Credit Risk within Wholesale Banking. This is a new role within Market Risk, which will define these standards that are expected to reflect industry best practice. The position is critical to maintain discipline in Counterparty Credit environment and develop the supporting risk oversight.
The key responsibilities include;
- Implement an independent oversight framework for counterparty credit risk across Wholesale Banking.
- Perform daily risk oversight of Wholesale/FICC counterparty risk, including CVA, FCA, FVA and DVA.
- Conduct detailed analysis of Counterparty exposures due to changes in market variable, including scenario analysis and stress testing of FICC credit exposures.
- Partner Credit Decisioning team to develop appropriate risk appetite (limit) frameworks for repo, collateral and CCR.
- Oversee the activities of the CVA Desk(s) including input into the overall mandate for this desk, agreeing the risk appetite, PUAs and limits.
- Assess regulatory changes impacting counterparty risk and drive resultant process changes, including Basel III.
- Analysis/review methodology for new and existing derivative products for the purposes of measuring credit exposure of CCR. Including any structured products.
- Identifying, measuring and assessing specific and general WWR risks arising from FICC/Wholesale activities
To be successful in this role, you will have tertiary qualifications, preferably in Finance or Maths related fields or CFA, PRMIA or GARP Masters Degree, plus the following skills and experience;
- Technical analytical skills in Counterparty Credit combined with a high level of systems/IT development capability.
- Strong knowledge and hands-on experience with quantitative credit methods such as ROE, PCE, CVA or DVA.
- Previous systems exposure including Excel, VBA, SQL or C++ skills.
- Strong communication skills
- Ability to build strong working relationships with a broad range of areas both internal and external to the bank.
- Motivate and drive the regional risk teams toward best practice.
If you would like to find out more about this rewarding and challenging role, please contact Dionne Murrell