The opportunity

: Assistant Manager-National-Assurance-ASU - FAAS - Financial&AccountingAdv - New Delhi

Skillset: Credit value adjustment (CVA), Debit value adjustment (DVA), and potential future exposure (PFE), derivative pricing, exposure measurement (EAD, EE/EPE, PFE) and regulatory frameworks such as Standardised approach for counterparty credit risk (SA-CCR). Strong understanding of Basel III regulations, counterparty credit risk frameworks, sensitivity analysis, and capital impact assessment. Specifically, focus on expertise covering:

XVA analytics: Experience with CVA, Exposure at Default (EAD), Expected Exposure (EE/EPE) and Potential Future Exposure (PFE) computations using Monte Carlo simulation across asset classes, and SA-CCR methodologies. CVA/DVA computation, sensitivities, and impact assessment under different market scenarios.

Derivative pricing models: Strong understanding of derivative products ...