Risk Modeling Lead

3 days ago


New York, New York, United States Tandym Group Full time

The Tandym Group is seeking a highly skilled VP - Counterparty Risk to join their team in New York City. The estimated annual salary for this role is around $250,000. In this position, the VP - Counterparty Risk will lead counterparty credit risk analytics with a core focus on understanding PFE modeling and analyzing various modeling approaches.

Job Description:
  • This is a critical role that requires a deep understanding of counterparty credit risk analytics and PFE modeling.
  • The VP - Counterparty Risk will work closely with the risk modeling team to define or enhance PFE methodology for existing or new products.
  • The VP - Counterparty Risk will also lead efforts to establish back testing framework and analysis of the results for any remediation actions.
Responsibilities:
  • Lead the risk modeling 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.
  • Oversee 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.
Requirements:
  • 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.


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