Manager / Senior Manager – RWA & Capital Management recruitment
The Role
- Reviewing and validate counterparty risk exposure methodologies and associated fair value adjustments (CVA / DVA / FVA / RWA)
- Management and report on CVA/DVA and RWA calculation (Basel II and Basel III) and/or corresponding Pillar II and Pillar III reporting in respect to Counterparty Credit Risk
- Providing advice on business improvement initiatives in the areas of revenue, risk, capital, balance sheet, RWA, economic capital and costs. This can be at business, desk, trader or book levels.
- Performing model validation for credit risk models across different asset classes
- Reviewing and validating market credit risk methodologies
- Developing and validating models to be used for calculation of economic capital and pillar II and Pillar 3 regulatory capital.
- Reviewing and designing RWA model governance processes and see them through to full implementation and use by the business users.
- Reviewing of stress testing methodologies including aggregation for market and credit risk
The Candidate
- Quantitative Degree (essential) Industry Qualifications FRM, CFA, PRMIA (desirable).
- A track record in RWA risk quantification modelling for a number of asset classes Fixed Income, Equities, Rates and FX, Commodities or Credit
- Knowledge of credit risk processes/metrics e.g. LGD, PD and RWA and sound knowledge of Basel II and Basel III requirements
- Strong knowledge and practical understanding of the Credit Valuation Adjustment CVA, from a regulatory, accounting and business perspective.
- Excellent communication skills
- Ability to convert complex terminology into lehman terms
If you would like more information, please contact Jamie Brimage on 0207 970 9615 or e-mail Jamie.brimage@psdgroup.com