Lead Analyst for Counterparty Credit Risk

2 weeks ago

Buffalo, New York, United States M&T Bank Full time
Overview

The role involves comprehensive oversight, assessment, and risk detection concerning the Bank's exposure to counterparty and investment credit risks. This includes complex data analysis and interpretation, trend analysis preparation, Key Risk Indicators (KRIs), exposure limits, and various forward-looking risk identification reports. The position requires the development of sophisticated analytical tools and frameworks, utilizing statistical and modeling techniques to monitor portfolio movements and identify emerging risks. The findings will be interpreted and presented to influence strategic decisions within the department or division. Utilizing risk expertise, business acumen, and an understanding of the relationship between bank performance and the macroeconomic landscape, the role aims to plan initiatives that align with enterprise-wide objectives related to Counterparty Credit Risk (CCR) Management. This position will also oversee a team of analysts to support these efforts.

Primary Responsibilities
  • Collaborate with various departments within the bank to engage in discussions regarding current portfolio tracking and business insights, formulating strategies to monitor and mitigate potential portfolio risks.
  • Review significant counterparty exposures and collateral balances.
  • Conduct forward-looking analytics, employing modeling and statistical tools to pinpoint areas of CCR.
  • Analyze stress testing outcomes and enhance the existing stress testing framework.
  • Perform SACCR and CVA analyses and present findings in committee meetings.
  • Develop, monitor, and review the XVA limit framework.
  • Track CCR analytics for substantial Day-over-Day (DoD) and Month-over-Month (MoM) fluctuations in Potential Future Exposure (PFE).
  • Analyze and validate exposures (PFE) for any limit triggers and credit limit breaches.
  • Conduct CCR portfolio segmentation analysis using relevant financial, demographic, behavioral, market, and economic data.
  • Utilize market intelligence, including macroeconomic data, capital and equity market trends, and other industry insights to enhance portfolio analysis and identify detrimental market trends.
  • Perform credit limit sizing and establish maximum tenor limits.
  • Provide month-end commentary on significant exposure movements in material exposures, industry/country exposures, and product exposure analysis across interest rate, foreign exchange, and non-derivative transactions.
  • Prepare CCR presentations for senior management discussions and risk governance committees.
  • Conduct wrong-way risk analyses for counterparties and improve the existing collateral framework.
  • Execute additional duties as required.
  • Develop expertise in various Bank regulatory requirements, regularly presenting portfolio risk summaries and dashboards to management and governance committees.
  • Participate in cross-functional teams as a Subject Matter Expert (SME) for enterprise projects such as Comprehensive Capital Analysis and Review (CCAR), Advanced Capital Management (ACL), Enterprise Data Warehouse, and systems implementation.
  • Train, develop, mentor, and motivate team members to ensure high performance.
  • Exercise managerial authority regarding staffing, performance evaluations, promotions, salary recommendations, performance management, and terminations.
  • Adhere to applicable compliance and operational risk controls in accordance with company or regulatory standards and policies.
  • Foster an environment that promotes diversity and reflects the M&T Bank brand.
  • Maintain internal control standards, ensuring timely implementation of internal and external audit points along with any issues raised by external regulators as applicable.
  • Complete other related duties as assigned.
Education and Experience Required:
  • Bachelor's and/or advanced degree in a quantitative discipline (Finance, Mathematics, Engineering, Physics, Computer Science, or Statistics).
  • A minimum of 7 years of experience in counterparty credit risk, market risk, or a related risk discipline (including credit administration, credit risk oversight, finance, or business analytics).
  • A minimum of 7 years of experience in preparing written documentation and/or publications.
  • A minimum of 2 years of management or supervisory experience.
  • Strong knowledge of capital markets, derivatives products, and derivatives valuation, including VAR and PFE calculations.
  • Solid understanding of xVA calculations such as CVA, DVA, FVA, KVA, MVA, etc.
  • Experience collaborating with internal developers, data sourcing teams, and external vendors to enhance CCR analytics, system infrastructure, and overall CCR framework.
  • Good working experience in developing and analyzing stress testing results and improving the stress testing framework.
  • Strong technical skills, including proficiency in Microsoft Office Suite (Word, PowerPoint, Excel/VBA), Python, and data visualization tools (e.g., Tableau).
  • Excellent communication skills, both written and verbal.
  • Solid analytical and problem-solving abilities.
  • Strong interpersonal skills.
  • High attention to detail and exceptional organizational skills.
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