VP, Counterparty Credit Risk Analytics

2 weeks ago


Albany, United States The Madison-Davis Group Full time

Office Status: Hybrid – 2 to 3 days a weekCompensation: $150,000 to $200,000Responsibilities:Engage with risk modelling team to define or enhance PFE methodology for existing or new productsAnalyze/validate exposures (PFE) for any limit triggers and credit limit breachesMonitor CCR analytics for large DoD and MoM moves in PFEPerform credit limit sizing and define maximum tenor limits (New deal activity and existing trade portfolio)Analyze stress testing results and enhance existing stress testing frameworkPerform XVA analysis and present in committee meetingsReview top 20 counterparty exposures and collateral balancesMonitor and review CVA limit frameworkProvide month-end commentary for large exposure moves in top 20 exposures, for industry/country exposures, for product exposure analysis across IR, FX and non-derivative transactionsProvide CCR slides for senior management discussion and committees (GRMC, RMC etc.)Perform Wrong Way Risk analysis for counterparties and enhance existing WWR frameworkOversees production of daily counterparty credit exposure reports for accuracy and comprehensiveness.Liaise with various groups within Capital Markets for the quick resolution of credit exposure-related issuesUndertakes other credit control tasks and projects as required



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