Regulatory & Risk Analytics Manager – CVA – London recruitment
CVA, 'BASEL 3', 'BASEL III', RISK, 'MARKET RISK', 'CREDIT RISK', 'COUNTERPARTY RISK', CREDIT, COUNTERPARTY, CVA, 'CREDIT VALUE ADJUSTMENT', VAR, 'VALUE AT RISK', 'TRADED RISK', TRADE, MODEL, MODELS, MODELLING, 'RISK FRAMEWORK', VAR, 'VALUE AT RISK', BANK, BANKING, LONDON
Overview
A Risk Regulatory Analytics manager is required to fill a six month contract opening. The successful Risk Analytics Manager will have a strong methodology background and be able to readily communicate complex Risk, Regulatory and Modelling concepts to the business.
This ability to translate methodology to business action is critical for the CVA project which will have significant impact on how the business operates effectively and efficiently post-Basel III.
Principal Accountabilities:
- Help ensure there is appropriate methodology in place for the calculation of the CVA VaR
- Enhance existing approaches based on experience from other top-tier firms
- Provide additional analysis identifying areas of weakness and delivering solutions
- Help develop an ongoing validation programme for the CVA VaR project
- Help develop analytics that explain the key drivers of the CVA VaR
Major Role Undertakings
The project to deliver the CVA capital is underway and five streams have already been established:
- Counterparty Data
- Market Data and scenarios
- Exposures
- CVA calculation
- Analysis Aggregation
This is a complex project that requires optimisation across the 'counterparty data', 'market data and scenarios', 'exposures', 'CVA calculations' and 'analysis aggregation' streams for a successful delivery.
Particular attention is focussed on the exposure calculation accurately taking into account the risks and risk mitigations (collateral).
The main objective is to develop the traded risk documentation framework which will drive consistency across the market risk models
Necessary Qualifications
- Academic qualifications that demonstrate numerical skills, for example an advanced degree in engineering, economics, econometrics, statistics, mathematics
- The right to work in theUK.
Experience
- Strong experience in CVA methodology and risk management
- Management experience
- Demonstrable senior stakeholder management capabilities
- Knowledge of Capital allocation methodologies
- Knowledge of Basel 3 / Basel III
Skills
- Ability to communicate technical concepts effectively
- Good knowledge of financial theory underpinning the capital markets
- Proficient in statistical and mathematical modelling techniques
This is a senior Risk Analytics / Risk CVA Analytics Managerial position with high profile exposure to Basel III requirements and the corresponsing Market, Counterparty and Credit Risk issues / CVA. The rate advertised mirrors this and, as such, the highest calibre of candidate is required.
To be considered for this contract opportunity, forward an up to date CV and indication of your availability ASAP. Suitable candidates will be contacted directly.
To find out more about Huxley Associates please visit www.huxley.com
