Physician / New York / Permanent / VP - Counterparty Risk Job
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Tandym Health
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| Post Date: |
Mar 14, 2024 |
| Job Type: |
MD |
| Position Type: |
Permanent |
| Specialty: |
Other |
| Salary: |
100000.0-175000.0 |
| Location: |
New York - New York |
| Job Reference: |
307991 |
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Description
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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