Description
Risk Calculation Analyst required by leading Global Investment Bank to support a Risk Calculation & Analysis team who provide risk figures, across all asset classes, to the Investment Markets regarding counterparty risk.
(Counterparty Exposure, Credit Value Adjustment [CVA], Debt Valuation Adjustments [DVA], Funding Valuation Adjustments [FVA] as well as various derived sensitivities).
The role has broad coverage across all products (vanilla and exotics) on the Fixed Income and ALM perimeters and offers a unique exposure to a broad range of risk quantification techniques (Counterparty Risk, CVA, DVA, LVA, Value at Risk, other Capital Charge indicators, sensitivities at deal level, limits, reserves, stress tests ) and their integration in a single market and counterparty risk system
Responsibilities
* Contribute to the daily monitoring and validation of the risks figures provided by the Counterparty risk system with a focus on Fixed Income (Credit, Interest Rate Derivatives, FX) business as well as ALM.
* Provide explanation and support to the risk analysts and business lines about the risks changes and the calculation methodologies
* Contribute in enhancing production tools to improve the accuracy and the timeliness of the various risk calculations and reduce the operational risk.
* Log and investigate system issues with the aim to help development teams to improve the counterparty risk systems
* Contribute in developing risk analysis tools to improve the accuracy and the timeliness of the various risk calculations
Skills & Experience Required:
* Investment banking experience with a focus on IT/Operations.
* Experience in Risk and more specifically on Counterparty risk
* Solid IT background with good knowledge of financial products
* Ability to apply quantitative techniques for measuring risks of derivatives products
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