Head of Counterparty Credit Risk Management

4 months ago


New York, United States The Execu|Search Group Full time

A New York City-based banking services organization is currently seeking an experienced professional to join their staff as their new Head of Counterparty Credit Risk Management & Reporting Manager.

Responsibilities:

The Head of Counterparty Credit Risk Management & Reporting Manager will:

  • Review top 20 counterparty exposures and collateral balances
  • Analyze stress testing results and enhance existing stress testing framework
  • Perform XVA analysis and present in committee meetings
  • Monitor and review XVA limit framework
  • 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
  • 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
  • Perform other duties, as needed
Qualifications:
  • 7+ years of experience in counterparty credit risk or market risk or risk related discipline
  • Bachelor's and/or Master's Degree in a Quantitative field (Finance, Mathematics, Engineering, Physics, Computer Science, or Statistics)
  • Strong knowledge and understanding of Capital Markets, derivatives products, and derivatives valuation/PFE calculation
  • Solid 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, including Excel/VBA, python, data visualization tools (e.g. Power BI) etc.
  • Solid analytical and problem solving skills
  • Great interpersonal skills
  • Excellent communication skills (written adn verbal)
  • Strong attention to detail
  • Highly organized
Desired Skills:
  • CFA and/or FRM certification


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