Part of the credit risk team, you will quantify and be involved in modelling and reporting of credit exposures across a diverse portfolio of counterparts. You will actively lead and contribute to the further development and implementation of quantitative models and systems, be responsible for the quantitative aspect of Credit Risk Management platform and work in close collaboration with the Credit Analysts as well as the Market Risk, Valuation and Middle-Office teams.
THE ROLE
Monitor, manage and report counterparty credit exposures (individual and portfolio) on daily basis to ensure trading activity remains within approved limits Be involved in modelling and quantifying potential future credit exposure of new plain-vanilla or structured transactions Enhance and/or develop existing or new quantitative tools and risk frameworks. This includes PFE, CVA and CVaR models implementation and/or improvement in collaboration with Market Risk and Valuation Teams when required Compute and report key credit risk indicators to Group Credit Risk Manager, Executive Management and shareholders on a monthly basis Ensure credit system is operating accurately on a daily basis Enhance and upgrade credit management system, ad-hoc quantitative and IT projects and/or cross department task force to implement best risk management practices.
REQUIREMENTS
Bachelor\xe2\x80\x99s Degree equivalent professional qualification with strong mathematical, computer science or engineering background. 3-7 years of experience in a quantitative position gained within a commodity trading environment or financial institution. Excellent quantitative skills. Experience with key concepts of Potential Future Exposure, X-Value Adjustment and/or Credit Value-at-Risk will be a strong advantage. Proficient knowledge of Power BI, Python or other coding languages would be a strong advantage. Knowledge of Allegro, Cubelogic or familiarity with other trading ETRM systems is a plus. Strong working knowledge of Excel and proficient knowledge of VBA language coding. Your profile will not be disclosed to any client without your permission. We regret that only shortlisted candidates will be notified.
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