Business Analyst on RiskMichel2019-06-21T14:09:43+00:00
Ref BA RK 1
Functional expertise Market Risk and Credit Risk
Monitoring the market VaR, IRC, CVA and EEPE.
– Fluency with computer tools (unix / linux) and good
Credit type of market data skills: knowledge of CDS, securitization, bonds ….
– The provision focuses (but not only) on the credit part:
– Check the correct execution of the assignment of a risk factor and a curve spreads the credit type positions or counterparties (CVA VaR, CVA).
– Biannual update of the composition of CDS basket defining risk VaR factors.
– Support on production for VaR, CVA, EEPE …
Ref BA RK 2
Business Analyst on internal rating tools
Adaptations and developments Access databases to close within the
changes in models for portfolios Public Sector Local and International France
(Model redesign PSE Western Europe: 12 scoring functions);
Adaptations of XML based new scores for reporting purposes
The update of the documentation of existing tools and processes
Ref BA RK 3
Consultant on Backtesting tool of models based on financial data
> Confirmed Experience: 3 years minimum
> Functional Skills, Trades and Technology
> Master of office tools, data bases and
queries tools (Access, SQL)
> Knowledge of credit risk and Basel regulatory