Market Risk Analyst-Trading Risk-Counterparty Credit Risk (CCR)

Job Summary

The Market Risk Analyst Trading Risk (CCR) is responsible for measuring, monitoring, and controlling counterparty credit risk arising from trading activities such as derivatives, FX, fixed income, and other OTC products. The role ensures accurate exposure measurement, limit monitoring, and regulatory compliance while supporting risk governance and reporting frameworks.

Key Responsibilities:

1. Counterparty Exposure Management

• Compute and monitor counterparty exposure across products (FX, IRS, bonds, derivatives, structured trades)
• Calculate key CCR metrics such as:
• Current Exposure (CE)
• Potential Future Exposure (PFE)
• Expected Exposure (EE)
• Monitor exposure against approved counterparty limits and escalate breaches

2. Risk Measurement & Modelling

• Support CCR modelling using quantitative techniques including:
• Monte Carlo simulation
• Analyze exposure profiles under different market scenarios
• Assist in model validation and periodic recalibration of CCR models

3. Stress Testing & Scenario Analysis

• Perform stress testing of counterparty exposures under extreme market conditions
• Evaluate impact of
• Market shocks (rates, FX, equity)
• Counterparty credit deterioration
• Wrong-way risk scenarios

4. Regulatory & Capital Reporting

• Support CCR capital computation under Basel framework
• Assist in CVA (Credit Valuation Adjustment) reporting and analysis
• Ensure compliance with guidelines issued by the Basel Committee on Banking Supervision
• Prepare regulatory risk reports for internal and external stakeholders

5. Collateral & Margin Monitoring

• Monitor collateral requirements and margin movements (CSA agreements)
• Track netting agreements and exposure reduction benefits
• Ensure timely resolution of margin disputes

6. Risk Reporting & Governance

• Prepare daily/weekly CCR risk reports for trading desks and senior management
• Highlight exposure breaches, concentration risk, and key risk drivers
• Support risk committees (ALCO / Risk Committee / Board reporting)

7. Collaboration & Stakeholder Management

• Work closely with:
• Front Office (Trading desks)
• Credit Risk teams
• Finance & Treasury
• Provide risk insights to support business decision-making