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Counterparty Credit Risk (CCR) Business Analyst

Counterparty Credit Risk (CCR) Business Analyst

Luxoft

5 - 10 years

13 - 18 Lacs

bengaluru

Posted:1 week ago| Platform:

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Skills Required

business analyst risk management python oracle data analysis credit risk trading platforms var data lineage market data stress testing sql server sql git stakeholder management treasury linux market risk regulatory risk

Work Mode

Work from Office

Job Type

Full Time

Job Description

Project description

We have been engaged by a large Australian Bank to provide experienced consultants to support their Risk technology as part of some migration, maintenance, and upgrade.The program focuses on delivering a steady and efficient risk management platform for Treasury Front Office, TMO, and Risk teams to effectively manage the bank''s funding and Market, Credit, and CCR risk exposures. Role involves bringing deep expertise of CCR risk functions, CVA implementation, drive change initiatives, and work closely with business stakeholders to ensure seamless delivery of enhancements and new functionalities with minimum / no disruptions to business functionalities.

Responsibilities

Lead enhancements and optimizations in the bank''s platform which manages counterparty credit risk, CVA.
Participate in functional testing and parallel run activities to test Mark to market differences and trade completeness between front office and risk systems.
Validate and analyze market and reference data for all the asset classes such as Bonds and IR Future, Commodities, Cap/Floor, Swaption, etc for CCR & FRTB regulations.
Maintain and update risk database for the CCR requirement and build controls to validate the data lineage and integrity.
Analyze and resolve issues related to system configuration, pricing, sensitivities, and market data for the current production trades.
Write & Review documentation for various functional areas such as market and reference data, system configurations, reporting, et,c across the program.
Independently engage with end users to gather, clarify, and document business requirements.
Own and drive the implementation of CCR and CVA configurations, configuring various Stress / Back testing reports and optimizations.
Optimize existing risk methodologies and model validations to improve performance and accuracy.
Conduct impact analysis and validation of key Risk measures (e.g., Exposure calculations using Montecarlo simulation).
Drive functional validations for Risk metrics and coordinate testing with end users.
Troubleshoot, debug, and resolve complex issues related to CVA computations.
Work closely with cross-functional teams, including Risk, Front Office, and IT to ensure seamless integration of risk measures.
Provide guidance and mentorship to junior team members.
Contribute to process automation and continuous improvement of release cycles.

Skills

Must have

5+ years of experience as a Market Risk / Counterparty credit risk BA
Deep expertise in Risk Models, FRTB and asset classes including MM, Fixed Income, FX, and IR Derivatives
Excellent understanding on pricing derivatives and option products, configuring market data/curves
Proven ability to develop, configure, and optimise exposure calculations, netting agreements and CSA independently
Experience in configuring and running risk computations, including reval runs, normalised runs
Strong business stakeholder management skills, with experience in running risk measure validations
Extensive hands-on experience in Risk functional validations (e.g., Interest Rate VaR, Stress Testing)
Expertise in configuring and validating various Credit Risk measures such as EE, PD, LGD
Strong analytical skills to explain differences in VaR results between Murex and other risk systems
Good understanding of Oracle and/or SQL Server RDBMS, with strong SQL skills for data analysis and validation

Nice to have

Experience with Unix/Linux environments and scripting (Shell, Python, etc.)
Experience on lading OTC trading platforms Murex, Calypso, FIS
Exposure to GIT for version control
Good knowledge of CI/CD methodologies and tools
Understanding of regulatory risk requirements (FRTB, Basel framework, etc.)

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Counterparty Credit Risk (CCR) Business Analyst