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We Offer As part of RFDP Capital, our team is responsible for the below:
Validating credit risk exposure calculation at a counterparty and a portfolio level across various business divisions like Prime Brokerage, ETFO, OTC Derivatives, FX, Repo, SLB, from regulatory perspective using different methodologies like SACCR, Monte Carlo, CEM etc.
Provide Monte Carlo exposure calculation tools requirements and test same tools in UAT phase.
Validating end-to-end data flow and functioning logic of our proprietary Credit Risk Management tool
Ability to re-compute credit risk exposures for data quality or methodology issues.
Analyzing SACCR EAD/Expected Positive Exposure of traded products and provide qualitative commentary for Day on Day, Week on Week and Month on Month exposure moves.
Demonstrating outstanding ownership of exposure outputs by analyzing the same for Default Risk RWA, CVA RWA.
Seek and facilitate resolution of issues leading to anomalous Exposure values and calculation of indicative exposures by using advanced simulation tools and models for factor based, sensitivity based (Historical simulation) and Monte Carlo (Taylor series approximation and/or Partial revaluation) risk calculators
Building practical solutions to regulatory requirements for Capital-related reporting.
Coordinating with various business partners like - Credit Analytics, Capital Reporting, Credit Risk Reporting and managers, data suppliers and process teams responsible for key data sources and processing.
A department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards.
Hold a Post-Graduate degree in Finance/Statistics/Economics/Sciences/Engineering/Mathematics
Completed CFA/ FRM/ Actuarial/ PRM qualifications along with basic knowledge of machine learning
You have 2-4 years of equivalent work experience in a financial institution with good product knowledge of derivatives and lending products and a deep understanding of Risk management tools and techniques
Outstanding analytical and problem solving skills to identify the scope of issues and ability to provide appropriate solutions
Understand the life cycle of a trade and risk management concepts
Knowledge of Demonstrate Basel Capital ratio's, IOSCO, demonstrate ratio, SACCR, Standardized approach, Shortcut approach, regulatory risk topics such as RWA, EPE & EE from Basel 3 regulations perspective.
You possess knowledge of Limits monitoring, Basel3 regulations along with Margining, Wrong way risk, CCP default waterfall, Treatment of Re-securitised collateral, Shortcut Exposure Method, IOSCO, Capital Buffers in counterparty credit risk space is helpful
Proficiency to work with large volumes of data using spread sheet and Database Query tools (MS Excel and Access)
Knowledge of SACCR EAD calculations & derivatives portfolio valuation
You are proficient in working with the output of finance and risk systems with machine learning platforms
You are driven and committed with a strong positive can do attitude and are able to move forward both existing processes as well as the related projects in parallel to each other
You have strong interpersonal, written and verbal communication skills including the ability to interact and build positive relationships with business partners
You can work in a fast paced and dynamic environment.
You are ambitious, hardworking on own initiative whilst also working collaboratively and deliver on time with a high level of integrity and flexibility, sense of urgency, attention to detail and quality standards
Understand the value of diversity in the workplace and are dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work. This should be further elaborated on in your application.