Counterparty Risk Analyst
3 weeks ago
Counterparty Risk Analyst - Quantitative Role - Competitive Daily Rate
PRIMARY RESPONSIBILITIES
In this position, you will oversee counterparty risk assessment and modeling across financial services, operating under a dual-role framework. This framework allows you to make informed decisions on behalf of both the banking sector and the securities division, maintaining the same level of authority and responsibility regardless of the employing entity.
Your key responsibilities will include:
- Contributing to the development and upkeep of risk models
- Creating, refining, and enhancing counterparty exposure models
- Designing and executing model validation assessments, scrutinizing both assumptions and implementations. Identifying issues and recommending modifications where model deficiencies are found.
- Defining and testing system enhancements to facilitate improvements.
- Strengthening existing operational controls surrounding exposure models and suggesting new measures to bolster reliability.
- Assisting business and credit departments with inquiries related to exposure calculations for specific transactions.
- Engaging in various projects as needed, including collaboration with market risk analytics and model validation teams.
- Preparing summary reports for committees and working groups that evaluate model performance.
- Investigating discrepancies and issues as they arise.
- Participating in additional projects as required.
- Actively contributing to broader Risk function initiatives and projects.
EXPERIENCE REQUIREMENTS
Essential:
- Prior experience with pricing models
Preferred:
- Experience with exposure models
- Familiarity with SIMM model
SKILLS AND QUALIFICATIONS
Required:
- Comprehensive understanding of financial markets and products, including derivatives
- Knowledge of derivatives pricing principles
- Proficiency in stochastic calculus
- Experience with programming languages such as Python, R, Excel, and VBA
Desirable:
- Understanding of counterparty exposure metrics like PFE, EE, CVA
- Background in a risk-related position
- Familiarity with advanced programming languages (C#, C++)
EDUCATION AND QUALIFICATIONS
- Master's degree or higher in Finance or a highly quantitative field (Mathematics, Statistics, Engineering, Computer Science)
TEAM ROLE
The successful candidate will join the Counterparty Exposure Metrics team, which is tasked with the development and maintenance of Potential Future Exposure (PFE) models utilized for measuring Counterparty Exposure. These models play a crucial role in internal control limits and contribute to economic capital calculations. The PFE encompasses various asset classes, including Rates, FX, Credit, Inflation, Equity, and Bond Spreads, across derivatives, Repo, and Securities lending transactions.
In addition to the primary PFE model, the team is also responsible for the SIMM model used for Initial Margin, as well as the simulation model for assessing risk on structured financing trades. The team also conducts model validation for the Front Office xVA model and its enhancements.
The candidate will collaborate closely with team members in Risk Analytics Group, credit risk management, IT development teams, risk model validators, and Front Office personnel. The successful candidate will foster an inclusive and proactive environment, ensuring the team leads in new model development and effectively addresses issues as they arise, with clear communication in management reports.
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