An Industry leading Investment bank based out of New York City is looking to expand their Counterparty Credit Risk Analytics team by bringing on a VP level Counterparty Credit Risk Quant.
This individual will have the opportunity to build Counterparty Credit Risk models from scratch, lead back-testing framework/analysis, and analyze stress testing results. They will also will also perform ongoing counterparty surveillance and collaborate with the front office on exposure estimation.
Responsibilities:
- Work amongst the risk modelling team to define or enhance PFE methodology for existing or new products.
- Lead efforts to establish a back testing framework and analyze results for remediation actions.
- Monitor CCR analytics for significant Day-on-Day (DoD) and Month-on-Month (MoM) moves in PFE.
- Analyze and validate exposures (PFE) to identify limit triggers and credit limit breaches.
- Perform stress testing analysis, enhance the existing framework, and present findings in committee meetings.
- Oversee the production of daily counterparty credit exposure reports for accuracy.
Qualifications:
- 5+ years of experience in a Quantitative Counterparty Credit Risk or Market Risk function.
- A deep understanding of various asset classes and products.
- Previous experience building Counterparty Risk Models.
- Master's in a quantitative field required; PhD preferred.
- Strong business communication skills.
- Proficiency in python and Excel.
