Head of Counterparty Credit Risk Management

1 month ago


New York, United Kingdom Page Executive Full time

About Our Client

A top-tier global financial group

Job Description

Role Objectives

Review top 20 counterparty exposures and collateral balancesAnalyze stress testing results and enhance existing stress testing frameworkPerform XVA analysis and present in committee meetingsMonitor and review XVA limit frameworkMonitor CCR analytics for large DoD and MoM moves in PFEAnalyze/validate exposures (PFE) for any limit triggers and credit limit breachesPerform credit limit sizing and define maximum tenor limits (New deal activity and existing trade portfolio)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 transactionsProvide CCR slides for senior management discussion and committees (GRMC, RMC etc.)Perform Wrong Way Risk analysis for counterparties and enhance existing WWR frameworkOversees 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 issuesUndertakes other credit control tasks and projects as required

The Successful Applicant

Qualifications and Skills

Minimum 7+ years of experience in counterparty credit risk or market risk or risk related disciplineMaster's or bachelor's degree in quantitative field such as finance, mathematics, engineering, physics, computer science, or statisticsStrong knowledge and understanding of Capital Markets, derivatives products, and derivatives valuation/PFE calculationUnderstanding 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 frameworkGood working experience in analyzing stress testing results and enhancing stress testing frameworkSolid organizational skills and ability to managing large scale complex projectsStrong technical skills required - Excel/VBA, python, data visualization tools (e.g. Power BI) etc.Skilled at independently researching topics using all means available to discover relevant informationStrong communication skillsAbility to work in a team environmentStrong collaboration skills to work with different stakeholders and builds positive relationships to drive mandates for the team and organizationSelf-starter with ability to multi-task and to maintain momentumBe very hands-on to use available data for analysis and very diligent to build consensus with different stakeholders to drive decision makingProgress towards CFA and/or FRM certification preferred

What's on Offer

Competitve Package



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