Head of Counterparty Credit Risk Management & ...

A New York City-based banking services organization is currently seeking an experiencedprofessional 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

Created: 2024-10-22