Traded Credit Risk – AVP

Florence International Consulting; Dubai; On-site; AED 420,000 - 660,000; Full time

Job summary

Florence International Consulting seeks an experienced AVP for Traded Credit Risk in Dubai to support senior management with quantitative analytics and risk monitoring across derivatives and related products.

The role requires 7+ years banking experience, strong postgraduate quantitative background, and excellent programming skills in Matlab and/or C++. You will develop PTE/EE/EEPE models, set risk limits, and oversee daily traded credit risk processes.

Qualifications

• Strong quantitative academic background, preferably postgraduate.
• Extensive banking experience in risk/derivatives is required.
• Experience with CVA modelling is advantageous.
• Excellent programming skills in Matlab and/or C++ are essential.

Responsibilities

• Enhance and document models for PTE, EE, EEPE using Monte Carlo.
• Develop methodologies to set risk limits for traded derivatives and cash products.
• Assess inherent market and liquidity risks of approved and proposed products.
• Ensure traded instruments are authorized and appropriate for customers.
• Oversee daily traded credit risk processes and coordinate with underwriting, treasury and legal.
• Perform stress testing on portfolios and identify monitoring gaps.

Skills

PTE modelling

EE/EEPE

Derivatives risk

Monte Carlo

CVA modelling

Programming: Matlab

Programming: C++

Risk monitoring

Education

Advanced quantitative degree

Tools

MATLAB

C++

Job description

Traded Credit Risk – AVP

A large regional bank are seeking an experienced Risk Professional to provide analytical and quantitative support to senior (Risk) management to monitor the traded credit risk products.

Key Responsibilities

• Enhance, maintain and document a model for the computation of Potential Future Exposure (PTE) and other analytics like EE, EEPE using Monte Carlo simulation across interest rate, foreign exchange, commodities, equities and credit derivatives.


• Develop methodologies for setting traded credit risk limits (pre-settlement and settlement) across derivatives and cash products.


• Assess the inherent market and liquidity risks in approved and proposed products.


• Ensure that traded instruments are authorized and appropriate for customers.


• Daily oversight over all aspects of the traded credit risk process, spot any gaps in the monitoring process and act as the point of reference for all traded credit risk issues by liaising with credit underwriting, the businesses, treasury, legal and credit administration.


• Scrutinize market risk conditions and perform stress testing of customer portfolios as required.

Requirements

• A strong Academic background in a quantitative field (preferably post grad level)


• A minimum of 7 years banking experience working for reputable (investment) banks with at least 4 years in a related area.


• Experience in working with a variety of asset classes and types of trading products, particularly derivatives; CVA Modelling experience is advantageous.


• Excellent programming skills across Matlab and/or C++.


• Good understanding of economic and regulatory capital related to counterparty risk exposure.


• Strong Communication and project Management skills.

About The Company

Florence Consulting is a boutique search consultancy dedicated to introducing senior candidates within Finance and Accounting, Internal Audit and Human Resources.

Our International arm is head quartered in Dubai where we recruit across the Middle East with a particular focus on the UAE, Kuwait, Qatar and Saudi Arabia.

By combining our technical understanding and on the ground experience we offer a professional and personal service to both candidates and clients.