Credit Risk Change Business Analyst
Core
Partner with Quantitative Analytics, Technology, and Credit Risk Management teams to translate complex risk, modelling, and data requirements into practical end-to-end solutions for Counterparty Credit Risk (CCR).
Role type
Senior IC Credit Risk Change Business Analyst (VP level)
Builds
Internal model method (IMM) and credit limit monitoring framework for potential future exposure (PFE) on derivatives and Security Financing Transactions (SFT)
Domain
Banking / Credit Risk / Quantitative Analytics
Deliverable
production ML models
Required skills
Python, SQL, Unix/Linux shell scripts, XML, Java, C/C++, C#, R/S, mathematical finance, Monte Carlo methods, capital markets products
Preferred skills
Experience delivering change within credit or market risk management, knowledge of wrong-way risk, model back-testing, margin and collateral modelling
Technologies
Python, SQL, Unix/Linux, XML, Java, C/C++, C#, R/S
Responsibilities
Define effective data flows and business processes for derivatives and securities valuation; Shape and maintain delivery plans in a fast-moving environment; Translate agreed priorities into clear Agile epics, features, milestones and measurable deliverables; Lead or support requirements definition, impact assessment, solution design, testing and implementation; Use Python and other suitable tools to automate analysis and assess impact runs
Seniority
Senior, hands-on IC (Corporate Title: Vice President)
