Director - Counterparty Credit Risk Quant
A leading Global Financial Institution in NYC is seeking a Director to join its Counterparty Credit Risk function focused on SIMM Models, PFE modeling, VaR modeling and portfolio risk analysis. This is an exciting opportunity to help drive the firm's quantitative counterparty credit risk framework while supporting the development and enhancement of key exposure measurement methodologies used across the Capital Markets business.
This role will be highly visible, as it sits directly under senior management targeting to develop analytical solutions, enhance counterparty risk infrastructure, and strengthen the firm's exposure management framework. You will work closely with senior stakeholders while helping to shape the measurement, monitoring, and reporting of counterparty credit risk across a broad range of derivative and financing products.
Responsibilities
- Lead the ongoing performance monitoring, enhancement, and governance of regulatory margin methodologies, including SIMM and related exposure measurement frameworks.
- Support the development and continual enhancement of the firm's quantitative Exposure Management framework for counterparty credit risk.
- Develop and implement analytical solutions to measure counterparty credit risk exposures for limit monitoring, capital assessment, and portfolio risk analysis.
- Build and maintain methodologies related to Initial Margin, Independent Amounts, collateral haircuts, and exposure mitigation techniques.
- Perform quantitative analysis across PFE, EAD, VaR, sensitivity analysis, scenario analysis, stress testing, and wrong-way risk frameworks.
Qualifications
- 8+ years of experience within quantitative counterparty credit risk, exposure management, or a related risk analytics function.
- Advanced degree in Mathematics, Statistics, Financial Engineering, Physics, Economics, or another quantitative discipline.
- Strong understanding of counterparty credit risk methodologies including SIMM, PFE, EAD, VaR, stress testing, and exposure analytics.
- Extensive experience with OTC derivatives, listed derivatives, securities financing transactions, and collateralized trading products.
- Experience developing, enhancing, or overseeing quantitative models and risk measurement methodologies within a banking or capital markets environment.
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