2nd Line oversight of Counterparty Risks including PFE, Settlement & XVA

Definition of methodology and provision of guidance to the implementation of strategic and tactical solutions for collateral computation under the Financial Collateral Comprehensive Method.Point of contact for the resolution of queries raised by Senior Management, Credit Officers, Front Office and Regulatory Reporting teams regarding Collateral Methodology.Development and Implementation of a tactical framework for the identification of Illiquid Collateral and the calculation of an extended Margin Period of Risk for SFT and OTC Netting Sets.Responsible for PRA and FINMA regulatory reporting of VaR/PFE/EEPE & RWA Impacts from implementing new Collateral Haircut Methodologies / Adverse model scenarios

Responsible for the full project life cycle of new additions and/or modifications to the Counterparty credit risk model. Analysis/development of new data sources, management of stakeholders’ expectations, process design, documentation of business/functional requirements, testing and sign-off of changes/additions to the Credit Model and managing the subsequent implementation