I have been working for a few years as a Conterparty Exosure Measurement analyst in a major global investment bank. The job consist in quantifying Potential Future Exposure (PFE) for counterparty portfolios of derivative transactions. We develop and use Monte Carlo engines and spreadsheets which simulate the evolution of underlying risk drivers (e.g. interest rates) over time and re-price the trade/portfolio at different future dates. Traders send us trade structures and we revalue it under different scenarios. The exposure levels are compared to credit lines given to counterparty for trade approval. Another tasks is calculating collateral haircuts and initial margins which are then quoted to conterparties as part of the deal. We use quantitative and statistical technique to forecast the evolution of the trade Mark-to-Market. We generate distributions of future MTM and extract statistics like percentiles. Would anyone familiar with exposure measurement know whether this job qualify as acceptable work experience? Thank youu
This kind of experience is not acceptable by the esteemed CFAI, but acceptable experiences include others like the following: Accountant, Actuary, Auditor, Consultant, Client service representative or relationship, Economist, Financial journalist/editor, Institutional sales professional/business, Investor relations, Product/software developer, Regulator.
Remeber the title alone doesnt guarantee acceptability. Why is an auditor listed. When ever will an auditor be involved more than 50% of the time in the investment decision making process.
Agree with Rydex, the role I described above has almost 100% of the time dedicated to the inv decision making process… exposure measurment analyst are quant credit risk analyst whose input are key in the structuring of a deal, particularly when collateral is involved and credit line are tight. I am convinced it is more acceptable work experiece, was interested to see if anyone who did this job has successfully applied to CFA…