CREDIT AND MARKET RISK MONITORING

Credit and Market Risk Monitoring

1.2 Requesting Department

The assignment will take place within the Risk and Permanent Controls teams:

- Credit and Market Risk (Luxembourg)

1.3 Location

The Risk and Permanent Controls teams are located in two areas: France (Montrouge) and Luxembourg.

2. DESCRIPTION OF THE ASSIGNMENT

2.1 Assignment - Luxembourg (1 consultant)

2.1.1 Context and Scope

As part of the LUCA project (change of the banks accounting system) the teams of the Credit & Market Risks business unit cover the following activities:

- Credit Risk

- Market Activities Monitoring

- Clearing & Execution Risk

The teams need to adapt their existing tools participate in IT work (EdB UAT) and participate in LUCA project workshops.

2.1.2 Nature of the service

Development of a UDA (SAS VBA Access Java) for monitoring the banks credit counterparty and market risk.

Project management

Provide production backup (relieve the workload of the teams)

2.1.3 Description of the mission

• Analyze in detail the impacts of the accounting system change project (Syste and chart of accounts)
  
• Formalize the requirements (EdB) of the Credit & Market Risk line for the IT department responsible for adapting and developing the new tools in accordance v the project plan
  
• Monitor IT deliverables (Contribution to project management workshop reports monitoring the progress of IT implementations)
  
• Adapt the "UDA" tools/controls developed by the business (SAS VBA Access Java) and update the UDA documentation accordingly.
  
• Test IT deliverables
  
• Support the changeover to the Risk and Accounting systems
  
• Write User Guides
  
• Organize training for the teams on new
  
• CMR systems and processes
  
• Organize training for the teams on new accounting systems (SAP & TRBK)
  
• Handle routine production tasks: o Execute controls o Produce reports
  

• Analysis and provision of opinions on Risk cases:
  
• Analyze requests from the sales and trading floor teams regarding the credit and market transaction needs of the Banks clients and counterparties.
  
• Provide opinions to be presented to the Banks Risk Committee for a decision.
  
• Risk Monitoring:
  
• Verify using automated tools compliance with authorizations issued by the Committee and intervene to understand and rectify any anomalies.
  
• Prepare monitoring reports for Management.
  
• Develop and/or update rating methodologies specific to different product and/or client categories.
  
• Participate in or coordinate work related to harmonizing credit risk measurement analysis and control processes within the various CACEIS Group entities.
  
• Produce reports (analysis of overruns exposures) on a statutory and consolidated basis.