A New York City-based banking services organization is currently seeking an experienced professional to join their staff as their new Head of Counterparty Credit Risk Management & Reporting Manager.
Responsibilities :
The Head of Counterparty Credit Risk Management & Reporting Manager will :
- Review top 20 counterparty exposures and collateral balances
- Analyze stress testing results and enhance existing stress testing framework
- Perform XVA analysis and present in committee meetings
- Monitor and review XVA limit framework
- Monitor CCR analytics for large DoD and MoM moves in PFE
- Analyze / validate exposures (PFE) for any limit triggers and credit limit breaches
- Perform credit limit sizing and define maximum tenor limits
- 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 transactions
- Provide CCR slides for senior management discussion and committees (GRMC, RMC, etc.)
- Perform wrong way risk analysis for counterparties and enhance existing WWR framework
- Perform other duties, as needed
Qualifications :
- 7+ years of experience in counterparty credit risk or market risk or risk related discipline
- Bachelor's and / or Master's Degree in a Quantitative field (Finance, Mathematics, Engineering, Physics, Computer Science, or Statistics)
- Strong knowledge and understanding of Capital Markets, derivatives products, and derivatives valuation / PFE calculation
- Solid 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
- Strong technical skills, including Excel / VBA, python, data visualization tools (e.g. Power BI) etc.
- Solid analytical and problem solving skills
- Great interpersonal skills
- Excellent communication skills (written adn verbal)
- Strong attention to detail
- Highly organized
Desired Skills :
- CFA and / or FRM certification
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