Credit Risk Analyst - SAS/VBA/Python

Job Summary :

We are seeking a highly skilled Credit Risk Analyst with hands-on experience in Trading portfolios and regulatory risk reporting. The ideal candidate will have deep knowledge of credit risk parameters such as RWA, EAD, PD, LGD, and the EEPE framework, as well as experience with regulatory stress testing like ICAAP or country-level supervisory exercises.

Strong technical proficiency in SAS (Base & Enterprise Guide), Advanced Excel, and a working knowledge of Python or VBA is essential.

This role is ideal for professionals with a background in Capital Markets Risk, focusing specifically on counterparty risk, derivative exposure, and regulatory risk compliance for trading books.

Key Responsibilities :

Trading :

- Prepare and validate risk reports for Trading portfolios such as derivatives, futures, and options.

- Analyze market and credit risk exposures using SAS and Excel.

- Work with traders, quants, and risk teams to interpret and report exposures and limits.

Credit Risk Analytics :

- Calculate and report key credit risk parameters :

1. RWA - Risk-Weighted Assets

2. EAD - Exposure at Default

3. PD - Probability of Default

4. LGD - Loss Given Default

5. EEPE - Effective Expected Positive Exposure

- Support risk model inputs and outputs, ensuring accuracy and consistency across large data sets.

Regulatory Risk Reporting & Stress Testing :

- Participate in regulatory reporting processes including ICAAP, CCAR, EBA, or local regulatory stress tests.

- Apply stress scenarios to credit portfolios to analyze capital impact.

- Liaise with compliance and regulatory teams to meet submission deadlines and accuracy standards.

Technical Execution :

- Use SAS (Base + Enterprise Guide) to extract, transform, and analyze large datasets (1.52 GB+).

- Develop, debug, and optimize SAS queries and workflows for efficiency and scalability.

- Utilize Advanced Excel functions (e.g., array formulas, pivot tables, VLOOKUP, INDEX-MATCH) for ad hoc analysis and validation.

- Use Python or VBA for automation and reporting support as needed.

Required Skills :

- Minimum 4-10 years of experience in Credit Risk Reporting or Regulatory Risk Analysis within the Capital Markets or Investment Banking domain.

- Proven experience working with Trading , not just banking/retail portfolios.

- Strong understanding of Basel III, counterparty credit risk (CCR), and regulatory capital frameworks.

- Excellent proficiency in SAS (Base + Enterprise Guide) with experience handling large data volumes.

- Advanced knowledge of Excel and intermediate knowledge of Python and/or VBA.

- Exposure to stress testing frameworks and associated reporting requirements.

Preferred Qualifications :

- Experience in risk functions within investment banks, asset management firms, or consulting firms with a focus on regulatory compliance.

- Knowledge of financial products such as swaps, options, forwards, and other OTC derivatives.

- Familiarity with data lineage, data quality control, and risk aggregation techniques.

Education & Certification :

- Bachelors or Masters degree in Finance, Statistics, Mathematics, Economics, or Computer Science.

- Additional certifications such as FRM (Financial Risk Manager), CFA, or SAS Certification are a plus.