VP Exposure Management recruitment
VP Exposure Management
Tier 1 Investment Bank seeks candidates with excellent derivatives product knowledge and experience analysing exposure profiles to join their credit risk team. This is an excellent opportunity for candidates who are seeking a quantitative step up as you will gain exposure to a variety of quantitative and risk models.
The main responsibilities of this role include:
• Back Testing process, that consists of responsibility for:
o carrying out all data preparation steps (including data quality) required to generate inputs for the simulation engine (EAGLE),
o carrying out periodic movement analysis,
o investigating reasons for movements with DCEM,
o preparing the first versions of the regular reports including but not limited to the contribution to the existing pack.
• Work closely with QA and DCEM in the production of the Monitoring packs
• Assist CRR and Development teams with report automation
• Liaising with different stakeholders (Credit Risk Managers/Reporters, Tactical Strategic IT teams, QA, DCEM, Portfolio Management) in order to draw up work schedule
Candidates Require:
Essential
• Good working understanding of the main derivative products and credit exposure methodologies
• Ability to carry out general analysis of EEPE and PFE
• Strong Excel and Access skills
Preferred
• Prior experience in Market Risk
• VBA and XML