Physician / New York / Permanent / VP - Counterparty Risk Job

A banking services organization in New York City is currently seeking an experienced Finance professional to join their team as their newVP - Counterparty Risk. In this role, theVP - Counterparty Risk will be responsible forleading counterparty credit risk analytics with core focus on understanding PFE modeling and analyzing various modeling approaches.

Responsibilities:

The VP - Counterparty Risk will:

• Lead with risk modelling team to define or enhance PFE methodology for existing or new products
• Lead efforts to establish back testing framework and analysis of the results for any remediation actions
• 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
• Monitor and review CVA limit framework
• 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
• Oversees production of daily counterparty credit exposure reports for accuracy and comprehensiveness.
• Liaise with various groups within Capital Markets for the quick resolution of credit exposure-related issues
• Perform other duties, as needed

Qualifications:

• 7+ years of experience in Counterparty Credit Risk, Market Risk, Front Office Modeling, or Valuation-related discipline
• PhD or Masters Degree in Quantitative field (Finance, Mathematics, Engineering, Physics, Computer Science, or Statistics)
• Strong knowledge and understanding of Capital Markets, derivatives products, and derivatives valuation/PFE calculation
• 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, specifically Excel/VBA, python, data visualization tools (e.g. Power BI) etc.
• Great interpersonal skills
• Excellent communication skills (written and verbal)
• Strong attention to detail
• Highly organized

Desired Skills:

• CFA and/or FRM certification