Credit Officer, Derivatives Competence Center

Tasks

• Development of Early Warning Indicators for Significant Risks in the Derivatives Trading Book
• Management of exposure limits in accordance with the bank's risk profile and the Group's ALCO mandate
• Use of Collateral Management and Netting Against Customer Credit Lines to Manage Counterparty Risk
• Analysis of margin calls and daily changes in exposure
• Portfolio optimization through timely and appropriate alerts to the front office and middle office
• Establishment and Optimization of Netting Limits, Customer Lines, and Collateral Requirements
• Collaborating with various departments to gain a solid understanding of financial statements, market structure, and customer behavior
• Assessment of customer deposits using our counterparty risk diversification framework to determine the risk level used in our master agreements
• Collaborate with various departments to provide specific recommendations for balance sheet optimization
• Collateral Optimization
• Assess the sensitivity of counterparty positions to changes in market conditions and propose active measures to minimize counterparty positions
• Collaboration with the trading desk on stress and concentration analyses, and understanding of trade options and margin structures
• Development of model validation frameworks (independent tests) for the trading books in collaboration with the Financial Engineering team
• Collaborate with the risk engineering and development teams to ensure robust data integrity and the implementation of relevant methodologies, standards, and tools for the smooth operation of the risk function
• Participation in the development and implementation of management reporting and early warning indicators
• Adherence to industry best practices for managing credit risk when utilizing customer credit lines

Requirements

• At least 3 years of experience in a role managing the credit exposure of a derivatives portfolio
• A clear understanding of leveraged products such as forwards, stock options, and derivative credit structures (e.g., CSAs)
• A clear understanding of options, particularly how an option is valued
• Some experience in risk management or market risk
• IT skills (VBA, Excel, Python, Java)
• Bachelor's degree in mathematics, finance, physics, or computer science
• A Clear Understanding of Margining and Counterparty Credit Risk Management
• A solid understanding of the structuring of equity derivatives and bond markets
• Familiarity with various fixed-income products, swaps, ISDA agreements, and clearinghouse rules
• Experience with risk management systems, data analysis tools, and trading platforms such as Murex, Manageable, Bloomberg, RISK, or Capital
• Self-motivated, independent, self-confident, a good listener, detail-oriented
• Strong analytical skills and quantitative expertise
• Knowledge of data sources and methods for deriving credit-related external information
• Thorough knowledge of ISDA derivatives documentation and the underlying products
• Practical knowledge of capital markets and banking contracts
• Bachelor's or Master's degree in finance, economics, mathematics, or a related field
• Certifications (e.g., CFA, FRM) are a plus
• Experience in credit risk management or a related field is a plus