Senior Manager Counterparty Credit Risk

To manage the Counterparty Credit Risk department in charge of developing methodologies for credit limit utilizations (Add-Ons) for derivative products, counterparty exposure models including CSA customers, setting up policies and procedures for structured products (SP) business, dealing with regulatory issues related to counterparty credit risk and with key stakeholders such as Treasury, Risk and Business Relationship Team.

Accountabilities

• Guiding the Bank in setting up risk policies for counterparty credit risk on capital market (derivative) products
• Review of Bank’s existing IT systems and guide decisions on tools /systems (including selection of new systems, if required) for routine computation of risk measures on capital market products
• Coordinating with the Bank’s ITD for implementation of newly selected systems, if any. Coordinate with ITD and representatives of user departments (Business Lines and RMG) and guide appropriate user testing effort before implementation of new tools/systems
• Review of current counterparty credit risk measurement tools and methodologies and improve/optimize procedures by communicating with all stakeholders
• Develop risk measurement methodologies for all capital market products
• Perform periodic updates of the risk factors in agreement with key stakeholders involved (e.g. IT, BL, Treasury etc.)
• Develop credit exposure measurement methodologies for all customer types including ones with CSA contracts
• Provide independent risk review/approval of all structured product transactions at pre-deal level
• Manage and track stock of the SP portfolio and ensure all issues are logged and considered for reviewing SP proposals
• Manage and track all limits data pertaining to SP customers as per the approved transactions by liaising with key stakeholders such as CRD, CAD and PRD
• Developing suite of reports for counterparty exposures tracking and management
• Assist PRD with monitoring and tracking overstepping
• Take part in bank wide projects related to regulatory requirements and assist in implementing all changes
• Assist CRD with estimating/reviewing limits for proposed treasury business requested by the BLs
• Lead suitable training initiatives to disseminate risk policies and methodology for user groups in the Bank
• Growth of department and hiring of adequate personnel

• Master/PHD with Financial and Mathematical specialty (background in quantitative methods)
• Prior work experience of 7-15 years in dealing with capital market products
• Expert knowledge of derivatives (preferably Structured Products) & risk management
• Sound asset pricing and valuation skills ranging across many asset classes
• Command on core risk principles of counterparty credit risk such as PFE, EE, EAD, PD on mathematical platforms with ability to generate risk profiles via Monte Carlo Simulations
• Excellent knowledge of software development by using MATLAB, C/C++, VBA, etc.
• Proficiency on Financial systems (Reuters and Bloomberg)
• Highly quantitative with ability to translate complex concepts into simple terms
• Ability to produce clear documentation and procedure
• Flexible and highly result oriented