EEPE – CVA Consultant
The EEPE and CVA regulatory project was launched in 2011, with the aim of using internal economic development models for counterparty risk on market operations and for the management of future Basel III directives, with internal CVA risk capital charge models. This position requires functional expertise and project management capacities for market activities involving a reforging of the calculation model reducing counterparty risk (CVA) and VaR Credit. Project management tasks include the implementation of quantitative and other projects for all subjects linked to credit risks in market operations. Within a complex IT environment, this position requires self-determination, discipline, initiative and excellent communication skills.
- Drafting a preliminary study and analysing possible arbitration solutions;
- Drafting specifications and test plans for the development team, developing a model;
- Monitoring IT project management and corresponding recipe tests;
- Monitoring the implementation of production changes;
- Compiling impact studies describing the solutions adopted as well as expected results in both qualitative and quantitative terms;
- Drafting reference material;
- Contributing to the production of IRBA credit stress tests, as well as their implementation, procedural updating, monitoring and development within the framework of the EEPE-CVA project;
- Elaborating impact simulations for weighted assets and expected losses requested by the regulator or by internal clients for specific projects linked to Basel issues.
Is this project fitting for you?
- Challenged by system problem issues and have a capacity to develop your skills within a complex IT environment;
- Functional and quantitative command of market instruments;
- In-depth knowledge of mathematics applied to finance and risk indicators;
- Good knowledge of regulatory measures (Basel II and III);
- Provide a strong risk expertise on market products, securitisation and structured financing
Your key assets:
- Self-determination in guiding projects, with precision and discipline (especially in performing detailed recipe tasks);
- Excellent communication skills and a real fluency in communicating both orally and in writing (e.g. drafting specifications) with a variety of players (risk controllers, developers, Quants, Front-Office, etc.).