Senior Manager of Counterparty Risk Analysis

2 weeks ago


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

In this role, you will be accountable for comprehensive oversight, assessment, and risk detection regarding the Bank's exposure to counterparty and investment credit risks. This includes conducting complex data analysis and interpretation, preparing trend assessments, Key Risk Indicators (KRIs), exposure limits, and various forward-looking risk identification reports. You will be responsible for developing sophisticated analytical tools and frameworks, including statistical and modeling-based methods, to monitor portfolio movements and identify emerging risks. Your findings will be crucial in influencing strategic decisions within the department or division. Utilize your risk management expertise, business acumen, and understanding of the interplay between bank performance and the macroeconomic landscape to plan initiatives that align with enterprise-wide objectives surrounding Counterparty Credit Risk (CCR) Management. You will directly manage a team of analysts to support these efforts.

Key Responsibilities
  • Collaborate with various departments within the bank to engage in discussions regarding current portfolio tracking and business insights, devising strategies to monitor and mitigate potential portfolio risks.
  • Examine significant counterparty exposures and collateral balances.
  • Conduct forward-looking analytics, utilizing modeling and statistical tools to pinpoint areas of CCR.
  • Evaluate stress testing outcomes and enhance the existing stress testing framework.
  • Carry out SACCR and CVA analyses and present findings in committee meetings.
  • Establish and oversee the XVA limit framework.
  • Monitor 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.
  • Leverage 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 define maximum tenor limits.
  • Provide month-end commentary for significant exposure movements, industry/country exposures, and product exposure analysis across various transactions.
  • Prepare CCR presentations for senior management discussions and risk governance committees.
  • Conduct wrong-way risk analysis for counterparties and enhance the existing collateral framework.
  • Execute additional duties as required.
  • Develop expertise in various Bank regulatory requirements and regularly present portfolio risk summaries and dashboards to management and governance committees.
  • Participate in cross-functional teams as a Subject Matter Expert (SME) for enterprise projects.
  • Mentor, develop, and motivate team members to achieve high performance.
  • Exercise managerial authority regarding staffing, performance evaluations, promotions, salary recommendations, and terminations.
  • Adhere to compliance and operational risk controls in accordance with company or regulatory standards and policies.
  • Foster an inclusive environment that reflects the M&T Bank brand.
  • Maintain internal control standards, ensuring timely implementation of audit points and addressing issues raised by external regulators.
  • Complete other related responsibilities 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.
  • 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/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 and system infrastructure.
  • Proficient in developing and analyzing stress testing results and improving the stress testing framework.
  • Strong technical skills, including proficiency in Microsoft Office Suite, Python, and data visualization tools.
  • Excellent communication skills, both written and verbal.
  • Solid analytical and problem-solving abilities.
  • Strong interpersonal skills and attention to detail.
  • Highly organized and capable of managing multiple tasks.
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