Senior Specialist, Credit Risk

Job Purpose

The Senior Specialist, Credit Risk is responsible for monitoring, assessing, and reporting credit risks related to AMF’s investment portfolios, treasury activities, and financial exposures. The role ensures effective risk measurement, compliance with limits, and timely reporting to support informed decision-making. It includes as well developing analytical tools using Calypso and Python,and developing market risk and stress testing policies. It contributes to the enhancement of AMF’s risk framework by analysing market trends, evaluating credit exposures , and implementing best-practice risk controls.

Key Accountabilities:

• Monitor counterparty credit exposures across various financial instruments.
• Review and challenge counterparty limits, exposure calculations, and utilization against approved risk appetite.
• Assess counterparty creditworthiness using internal ratings, external ratings, market indicators, and CDS spreads.
• Measure and analyze current exposure, potential future exposure (PFE), expected exposure, wrong-way risk, settlement risk, and concentration risk.
• Support the development and enhancement of counterparty risk methodologies, including PFE, stress testing, collateral haircuts, and limit frameworks.
• Conduct stress testing and scenario analysis to evaluate the impact of market shocks, rating downgrades, and counterparty defaults.
• Collaborate with Front Office and Treasury teams to provide independent risk opinions on new transactions, counterparties, and products.
• Prepare timely credit risk reports, dashboards, and analytical insights for management and committees.
• Identify emerging risks, deviations, and policy breaches, and escalate issues as required.
• Maintain and update risk models, assumptions, and parameters in line with market developments.
• Support the evaluation of investment proposals by assessing risk implications, exposures, and volatility.
• Verify the accuracy, completeness, and integrity of market and risk data.
• Contribute to the development and enhancement of credit risk policies, methodologies, models, and measurement tools.
• Support the validation of risk systems and the enhancement of analytical reporting capabilities.
• Participate in reviewing and updating risk policies, limit frameworks, and procedures.
• Monitor compliance with AMF investment guidelines, risk frameworks, risk appetite statements, and regulatory requirements.
• Coordinate with Investment, Treasury, Finance, and Internal Audit teams to validate data and align risk reporting.
• Support risk committees through the preparation of reports, risk notes, presentations, and analytical briefings.
• Liaise with custodians, data providers, and external auditors on counterparty and credit risk-related matters.
• Stay informed of market developments, regulatory changes, and global risk trends affecting counterparty and credit risk management

• Job Qualifications and Requirements

  Knowledge and Experience:

  • Minimum of 8 years of experience in Market risk, Investment risk, Treasury risk, financial risk analyses
  • Strong knowledge of financial instruments, Portfolio theory, Pricing, Market dynamics, Experience with: Risk systems, Stress testing tools, VaR engines and Pricing models (preferred)

  • Education:

    • Bachelor’s degree in finance, Economics, Risk Management Or a related field. Master’s degree is preferred

    Certification

    • professional certifications are an advantage, such as
    • FRM (Financial Risk Manage
    • CFA (Chartered Financial Analys
    • PRM (Professional Risk Manage

    Other risk-specialized courses