VP - Counterparty Risk

6 days ago


New York, United States Tandym Group Full time

A banking services organization in New York City is currently seeking an experienced Finance professional to join their team as their new VP - Counterparty Risk. In this role, the VP - Counterparty Risk will be responsible for leading counterparty credit risk analytics with core focus on understanding PFE modeling and analyzing various modeling approaches.

Responsibilities:

The VP - Counterparty Risk will:

  • 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
  • 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
  • Perform other duties, as needed
Qualifications:
  • 7+ years of experience in Counterparty Credit Risk, Market Risk, Front Office Modeling, or Valuation-related discipline
  • PhD or Master's Degree in Quantitative field (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, FVA, KVA, MVA, etc.
  • Experience in working with internal developers, data sourcing teams and external vendors to drive development of CCR analytics, system infrastructure and overall CCR framework
  • Good working experience in analyzing stress testing results and enhancing stress testing framework
  • Strong technical skills, specifically Excel/VBA, python, data visualization tools (e.g. Power BI) etc.
  • Great interpersonal skills
  • Excellent communication skills (written and verbal)
  • Strong attention to detail
  • Highly organized
Desired Skills:
  • CFA and/or FRM certification


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