Financial Engineer – Counterparty Exposure Management recruitment
The Group are responsible for global Credit and Market risk with ultimate responsibility for the methodology and development of the appropriate models. Working with a team of Financial Engineers tasked with the development and validation of counter-party credit risk models you will be responsible for providing analysis of model requirements, defining product pricing models and model validation tests. Essential to the role is previous counter party credit risk experience able to work across the whole life cycle dealing with data issues, model validation, research across asset classes. This team Read more […]
Vice President – Counterparty Exposure Management recruitment
The Role – Analysing a portfolio looking at counterparty exposures across all asset classes – predominately uncollaterised names – Calculation of Credit Exposure and Potential Exposure across a derivative portfolio- Analysing the underlying product and calculating exposure- Understand how changes in products (Rates, FX) changes counterparty exposures advise appropriately.- Managing the Counterparty Credit Risk arising from their exposure to derivatives and repo transactions- Looking into Basel 3 impact on capital for counterparty risk on trades as well as DVA – ‘Market Savvy’ be an effective Read more […]
VP – Market Risk – CVA / Counterparty Exposure Management recruitment
The RoleCarrying out analysis of CVA, applying hedging strategies factoring in sensitivitiesInvestigating into various CVA modelling/pricing issues such as right/wrong-way risk, correlation and volatility inputs, set-off strategyLook into Basel 3 impact on capital for counterparty risk on trades as well as DVA and funding adjustment.Look into PFE Collaterised namesInterpret stress results and VaR analysisCommunicate with senior stakeholders within the business, selling the practicalities of the CVA deskThe CandidatePrevious experience within CVA from a Market Risk perspective and / or Counterparty Read more […]