Risk Technology Work Values

Daily Duties at Risk Technology:

- Development of analytic packs in the areas of Asset Liability Management, Stress Testing, Counterparty Credit Risk. - Consulting Financial Institutions in the areas of Credit Risk, Market Risk, Interest Rate Risk, and BASEL III. Analytical Packs: Developed an EXCEL/VBA model to compute the credit value adjustment (CVA) of OTC derivative instruments using Monte Carlo Simulations. The model attempts to compute the exposure profile such as PFE, EE amongst others for a variety of OTC derivatives such as interest rate swap, equity swap, cross currency swap, credit default swap, exotic options, swaption and caps and floors amongst others. It employs industry accepted stochastic models to generate the evolution of various risk factors such as interest rate, stock price, FX exchange rate, and hazard rate intensity to value different instruments based on these underlying factors. - Developed an application (EXCEL/VBA) to stress test Money Market Fund. The stress scenarios include credit quality deterioration in terms of defaults and downgrades of securities, parallel and non parallel interest rate shocks on different yield curves and at defined level of shares redemption. The model computes market value, credit value at risk (CVaR), and effective duration at the portfolio level and at the individual deal level. The model computes market value and its impact on the Net Asset Value under a combination of these shocks. - Developed an EXCEL/VBA application to stress test the credit risk of financial institutions. The application stresses loss rates, recovery rates, underlying collateral prices, non-performing assets amongst others to find the impact of such in broadly three areas, namely, capital adequacy, asset quality and profitability. - Developed an EXCEL model to rate depository institutions. The model utilizes CAMEL methodology to rate institutions on normal- through the cycle along with stress adjusted rating. The methodology involves computing projected financial statements, computing financial factors and using a scoring method to rate the financial strength of the institution against a proprietary rating scale. . Additionally, it provides sensitivity analyses of different rating factors to provide information on the vulnerability of the institution to various financial factors. - Developed a SOLVENCY II Standard Formula Model for Insurance Industry. The model entails development of worksheets to cater to underwriting risk and market risk for TIER II and TIER III Insurance carriers.

What they like about Risk Technology:

The social vibrance of a hiring firm is very important to you. Your ability to make and maintain friendships there is a critical part of your decision. You would likely be dissatisfied with a workplace that is quiet, cold, or otherwise not particularly social. When you investigate a new hiring company, ask recruiters, managers, and potential co-workers about the social life and opportunities there. This is especially important when you are relocating; moving dramatically alters your social sphere both inside and outside the workplace.

Tags

Asset Liability Management, Counterparty Credit Risk, BASEL III, Liquidity Risk Management, Incremental Risk Charge, Funds Transfer Pricing, Credit Value Adjustment, Credit Risk Modeling, Interest Rate Risk Management, Market Risk Management, SQL, ACCESS, VBA

Skills

Detail Oriented, Financial Forecasting, Budgeting, Forecasting, Variance Analysis, Financial Accounting, Statistical, Report Writing, Presentation, Ecommerce Strategy and digital marketing channels optimization - SEO, SEM, email, affiliates - for high-profile accounts.

These are some of the questions we asked our climbers about their experiences with Risk Technology: