Physician / New York / Permanent / VP - Counterparty Risk Job

Tandym Health • Full-time • New York, New York, United States • 3w ago

A banking services organization in New York City is currently seeking an experienced Finance professional to join their team as their newVP - Counterparty Risk. In this role, theVP - Counterparty Risk will be responsible forleading 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 Masters 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: