Manager- SACCR/Counterparty Credit Risk

Elevate Your Impact Through Innovation and Learning

Great Place to Work

About Risk and Quant Solutions (RQS)

Risk and Quant is one of the fastest growing practices at Evalueserve. As an RQS team member, you will address some of the world’s largest financial needs with technology proven solutions. You would solve these banking challenges and improve decision making with award winning solutions.

What you will be doing at Evalueserve

• Develop and backtest regulatory models such as SIMM, SACCR, SA-CVA, BA-CVA and
• VaR/ES.
• Developing BRD/FRD for the implementation of new changes or new development, work with local risk teams and global teams for implementation and present analysis results clearly and succinctly to stakeholders.
• Conducting stress testing to assess the impact of potential counterparty defaults on the bank’s capital requirement.
• Implement and review impact due to introduction of new product and carry out validation test to check the performance of new product model.
• Building and maintaining risk measurement and monitoring frameworks.
• Analyzing regulatory rules and conducting compliance assessments.
• Development and Implementation of benchmark models and methodologies in C++, Python, R etc.
• Perform Independent model testing and assess assumptions, limitations, and model framework
• Prepare coherent and comprehensive documentation reports.
• Lead and mentor team of Analysts.
• Support model owners on model findings and validation queries

What we’re looking for

• Bachelors/Masters in a quantitative discipline (Engineering, Maths, Physics, CS…)
• Certifications such as CFA, FRM, CQF, IIQF is a plus
• Strong regulatory understanding of Counterparty Credit Risk Regulations – Basel 3, SACCR, IMM, SA-CVA, regulatory pillar 1 capital, RWA, and BA-CVA and about exposure metrics like PFE, EEPE, EPE, CVA VAR.
• Understanding of quantitative concepts relating to CCR exposure, PFE, risk sensitivity, and stress testing.
• Experience in implementation of regulatory models, backtesting and stress testing.
• Good understanding of derivatives, Futures and Options, collateral haircut requirements
• Strong proficiency in one or more of the following programming languages C++, Python, R, MATLAB.
• Understanding of market trends and demands in the financial services sector and issues faced by clients by staying abreast of current business and industry trends relevant to the client's business
• Robust verbal, written and interpersonal communication skills.
• Excellent presentation and report writing skills.
• Self-starter with strong problem-solving skills
• Project management and leadership qualities

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