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Support director in development of overall work plan for CCR (OTC and SFT) and CVA capital process including monitoring/escalating/addressing any issues impact on the CCR/CVA capital value.
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Provide guidance and supervise staff to deliver work assignments
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Collaborate with front-office, technology, and all users to support investigations.
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Develop and automate control processes to identify data challenges affecting accuracy of CCR/CVA capital; Collaborate with data governance teams to drive CCR data issues resolution.
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Develop and implement analytics dashboard through the Power BI framework for CCR/CVA capital reporting and drilldown investigation tools for the capital values.
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Assist business line in any ad-hoc/one-off capital analysis and in understanding CCR/CVA capital calculation.
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Perform detailed quantitative and technical review capital process with minor guidance, including responsibility of designing the end-to-end capital process, research on appropriate statistical / mathematical technical tests, undertaking research and development of new techniques, coding/programming to analyze various aspects of model performance.
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Comply with internal policies, procedures and regulatory requirements where applicable
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Provide active and direct support to resolve outstanding audit and regulatory issues and to respond to ad hoc senior management and regulatory requests.
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Advanced degree in Mathematics, Statistics, Econometrics, Physics, Computer Science, Financial Mathematics, Financial Engineering (Master or above, Ph.D. Preferred); Industry certification or credentials will be an asset (e.g. CFA, FRM)
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Knowledges of the derivative pricing model theory, counterparty credit risk modeling, market data etc. Experience in modeling including the valuation and capital models, or counterparty credit risk modeling,
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Familiar with various trading products including IR, FX, Equity, Commodity, SFT etc.
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Excellent written and presentation skills to provide advice and explanation to various users
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Sound understanding of various modelling techniques and comfortable to conduct various tests.
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Proficient computing skills in SQL, Python, Unix bash scripting.
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Knowledge of databases and BI tools (especially MS Power BI) is an asset.
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Ability to manage efficiently multiple priorities; attention to detail and ability to work independently or in teams; consensus-building ability.
