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Counterparty Credit Risk Analytics Manager

Selby Jennings QRF
Manhattan, United States
Posted 6 days ago Hybrid Permanent Negotiable
A leading Multinational Bank and Financial Institution is looking to bring on a Counterparty Credit Risk Manager at the VP level to their Counterparty Credit Risk team. This team will offer broad exposure to Senior Management while covering CCR analytics, defining and enhancing PFE methodologies, and performing XVA analysis to present in committee meetings with upper management.

A leading Multinational Bank and Financial Institution is looking to bring on a Counterparty Credit Risk Manager at the VP level to their Counterparty Credit Risk team. This team will offer broad exposure to Senior Management while covering CCR analytics, defining and enhancing PFE methodologies, and performing XVA analysis to present in committee meetings with upper management.

In this role, you will be responsible for:

  • Engaging with the Model Risk team to define and enhance PFE methodologies
  • Monitor Counterparty Credit Risk Analytics
  • Analyze and validate exposures for limit triggers and credit limit breaches
  • Analyze stress testing results and enhance stress testing frameworks
  • Monitoring and limiting CVA frameworks
  • Provide a month-end commentary for large exposure moves within the top 20 exposures of the bank

The ideal candidate for the role will have:

  • Minimum 4+ years of experience in counterparty credit risk or market risk or front office modeling or valuation related discipline
  • PhD (preferred) or master's degree (required) in quantitative field such as 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
  • Solid organizational skills, ability to managing large scale complex projects
  • Strong technical skills required Excel/VBA, python etc.
  • Skilled at independently researching topics using all means available to discover relevant information
  • Ability to work in a team environment
  • Self-starter with ability to multi-task and to maintain momentum
  • Progress towards CFA and/or FRM certification preferred
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Job ID  PR/377064
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