Counterparty Risk
2 weeks ago
SMBC Group is a top-tier global financial group. Headquartered in Tokyo and with a 400-year history, SMBC Group offers a diverse range of financial services, including banking, leasing, securities, credit cards, and consumer finance. The Group has more than 130 offices and 80,000 employees worldwide in nearly 40 countries. Sumitomo Mitsui Financial Group, Inc. (SMFG) is the holding company of SMBC Group, which is one of the three largest banking groups in Japan. SMFG’s shares trade on the Tokyo, Nagoya, and New York (NYSE: SMFG) stock exchanges.
The anticipated salary range for this role is between $109,000.00 and $176,000.00. The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire. The role may also be eligible for an annual discretionary incentive award. In addition to cash compensation, SMBC offers a competitive portfolio of benefits to its employees.
In the Americas, SMBC Group has a presence in the US, Canada, Mexico, Brazil, Chile, Colombia, and Peru. Backed by the capital strength of SMBC Group and the value of its relationships in Asia, the Group offers a range of commercial and investment banking services to its corporate, institutional, and municipal clients. It connects a diverse client base to local markets and the organization’s extensive global network. The Group’s operating companies in the Americas include Sumitomo Mitsui Banking Corp. (SMBC), SMBC Nikko Securities America, Inc., SMBC Capital Markets, Inc., SMBC Rail Services LLC, Manufacturers Bank, JRI America, Inc., SMBC Leasing and Finance, Inc., Banco Sumitomo Mitsui Brasileiro S.A., and Sumitomo Mitsui Finance and Leasing Co., Ltd.
**Role Description**:
MBC Capital Markets, Inc. (CM) is a derivatives trading company since 1988 based in New York City, with offices in London and Hong Kong. SMBC CM is an established derivatives dealer with a broad product portfolio, with specific emphasis on interest rates and foreign exchange products such as interest & FX swaps, FRAs, options, exotic products, commodity derivatives as well as exchange traded products such as treasury bonds, interest rate futures & options, currency futures, treasury futures & options, etc.
The risk management department is responsible for market, model, liquidity, credit, foreign exchange, operational and legal risks associated with SMBC-CM Inc’s business and manages those risks directly or through each related departments and groups. The department is organized into four functional groups - Credit Risk Group, Market Risk and Analytics Group, Model Risk Group, and the Operational & Regulatory Risk Group. The Credit Risk Group maintains sound credit management activities liaising where necessary with other departments to review and assess credit risk, monitor credit exposure and provide guidance on credit limits in accordance with policies and procedures. Within Credit Risk Group, counterparty credit risk team performs risk measurement/CCR analytics and risk exposure analysis/risk management.
**Role Objectives**:
- Lead with risk modelling team to define or enhance PFE methodology for existing or new products
- Lead efforts to establish back testing framework and analysis of the results for any remediation actions
- Monitor CCR analytics for large DoD and MoM moves in PFE
- Analyze/validate exposures (PFE) for any limit triggers and credit limit breaches
- Perform credit limit sizing and define maximum tenor limits (New deal activity and existing trade portfolio)
- Analyze stress testing results and enhance existing stress testing framework
- Perform XVA analysis and present in committee meetings
- Review top 20 counterparty exposures and collateral balances
- Monitor and review CVA limit framework
- Provide 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 transactions
- Provide CCR slides for senior management discussion and committees (GRMC, RMC etc.)
- Perform Wrong Way Risk analysis for counterparties and enhance existing WWR framework
- Oversees 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 issues
- Undertakes other credit control tasks and projects as required
**Qualifications and Skills**:
- Minimum 7+ years of experience in counterparty credit risk or market risk or front office modeling or valuation related discipline
- PhD or master’s degree in quantitative field such as finance, mathematics, engineering, physics, computer science, or statistics
- Strong knowledge and understanding of Capital Markets, derivatives products, and derivatives valuation/PFE calculation
- Understanding of xVA calculations such as CVA, DVA
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