Enhance, maintain and document a model for the computation of Potential Future Exposure (PTE) and other analytics like EE, EEPE using Monte Carlo simulation across interest rate, foreign exchange, commodities, equities and credit derivatives.
Develop methodologies for setting traded credit risk limits (pre‑settlement and settlement) across derivatives and cash products.
Assess the inherent market and liquidity risks in approved and proposed products.
Ensure that traded instruments are authorized and appropriate for customers.
Daily oversight over all aspects of the traded credit risk process, spot any gaps in the monitoring process and act as the point of reference for all traded credit risk issues by liaising with credit underwriting, the businesses, treasury, legal and credit administration.
Scrutinize market risk conditions and perform stress testing of customer p...
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