Counterparty Credit Risk (CCR) Business Analyst

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.

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

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.)