01 Zakres zadań
- Develop, maintain and enhance models for counterparty credit risk, especially construction and calibration of counterparty risk covariance matrices and identification of stress period
- Calibrate and maintain simulation models for counterparty credit risk
- Contribute to production and UAT releases of covariance matrices
- Perform impact analysis of changes in covariance matrices in reference to internal risk management and regulatory measures (EPE, PFE, CVA)
- Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance and data quality control
- Develop, maintain and enhance technical documentation, including project plans, model descriptions, mathematical derivations, data analyses, process and quality controls
- Support tasks in response to regulatory and internal risk management requirements
- Prepare reports and detailed quantitative analysis for presentation to senior management and regulators
- Provide live-deal analysis: calculating credit exposure factors at trade and portfolio levels, estimating allowable collateral levels and determining initial margin requirements
- Conduct impact analysis for capital optimization initiatives and new counterparty risk regulatory rules
