Job closed
Ref: LP012-345
Job description / Role
Traded Credit Risk – AVP
A large regional bank are seeking an experienced Risk Professional to provide analytical and quantitative support to senior (Risk) management to monitor the traded credit risk products.
Key Responsibilities:
- Enhance, maintain and document a model for the computation of Potential Future Exposure (PTE) and other analytics like EE, EEPE using Monte Carlo simulation across interest rate, foreign exchange, commodities, equities and credit derivatives.
- Develop methodologies for setting traded credit risk limits (pre-settlement and settlement) across derivatives and cash products.
- Assess the inherent market and liquidity risks in approved and proposed products.
- Ensure that traded instruments are authorized and appropriate for customers.
- Daily oversight over all aspects of the traded credit risk process, spot any gaps in the monitoring process and act as the point of reference for all traded credit risk issues by liaising with credit underwriting, the businesses, treasury, legal and credit administration.
- Scrutinize market risk conditions and perform stress testing of customer portfolios as required.
Requirements
Requirements:
- A strong Academic background in a quantitative field (preferably post grad level)
- A minimum of 7 years banking experience working for reputable (investment) banks with at least 4 years in a related area
- Experience in working with a variety of asset classes and types of trading products, particularly derivatives; CVA Modelling experience is advantageous.
- Excellent programming skills across Matlab and/or C++
- Good understanding of economic and regulatory capital related to counterparty risk exposure
- Strong Communication and project Management skills
About the Company
Florence Consulting is a boutique search consultancy dedicated to introducing senior candidates within Finance and Accounting, Internal Audit and Human Resources.
Our International arm is head quartered in Dubai where we recruit across the Middle East with a particular focus on the UAE, Kuwait, Qatar and Saudi Arabia.
By combining our technical understanding and on the ground experience we offer a professional and personal service to both candidates and clients.