BA Counterparty Credit Risk-CON I Mumbai/ Bangalore/ Gurgaon-BIG4

Location: Bangalore Gurgaon Mumbai
Job Type: Permanent
Years of Experience: 3-6 Years
Industry: Strategy / Management Consulting Firms
Functional Area: Financial Services / Banking / Investments / Insurance

Job Role: BA Counterparty Credit Risk-CON

Salary: 15 LPA to 20 LPA

Qualification: Any UG or PG courses / MBA degree or equivalent

Mandatory Skills: Counterparty Credit Risk

Job Description

We are hiring for one of the Big4 for Bangalore/Mumbai/Gurgon Location for Con Role.

ROLE & RESPONSIBILTY: BA Counterparty Credit Risk
• Knowledge of Counterparty Credit Risk, Exposure calculation methodologies (simulation, aggregation, limit monitoring). Experience of implementing both Modelled and Non-Modelled calculation algorithms.
• Previous experience of validated counterparty exposure on a daily, monthly, and quarterly basis using various metrics including Exposure metrics (PFE, EPE, EEPE, EAD etc ) and VAR computation using both Internal Model (IMM) and Standardized approaches like CEM.
• Hands-on Experience of Exposure Calculation (EAD/PFE) at Portfolio level for both Modeled (IMM) & Non-Modeled (CEM/SACCR , Credit VAR ,CEF) transactions.
• Working knowledge of calculating & reporting default risk for traded products.
• Understanding of adjustments at the counterparty level where traded product exposure (derivatives, debt and equity financing) was found to be erroneous and material to mitigate impact on risk monitoring, CVA, and RWA.
• Some exposure to credit risk reporting platforms and risk engine.
• Should have knowledge on requirement gathering and BRD/FRD documentation
• Relevant experience of controls required to assure quality and completeness of the solution and its data

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