Tandym Group
VP - Counterparty Risk
Tandym Group, New York, New York, us, 10261
A banking services organization in New York City is currently seeking an experienced Finance professional to join their team as their new VP - Counterparty Risk. In this role, the VP - Counterparty Risk will be responsible for leading 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 productsLead efforts to establish back testing framework and analysis of the results for any remediation actionsMonitor CCR analytics for large DoD and MoM moves in PFEAnalyze/validate exposures (PFE) for any limit triggers and credit limit breachesPerform credit limit sizing and define maximum tenor limitsMonitor and review CVA limit frameworkProvide 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 transactionsProvide CCR slides for senior management discussion and committees (GRMC, RMC etc.)Perform Wrong Way Risk analysis for counterparties and enhance existing WWR frameworkOversees 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 issuesPerform other duties, as neededQualifications:
7+ years of experience in Counterparty Credit Risk, Market Risk, Front Office Modeling, or Valuation-related disciplinePhD or Master's 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 calculationUnderstanding 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 frameworkGood working experience in analyzing stress testing results and enhancing stress testing frameworkStrong technical skills, specifically Excel/VBA, python, data visualization tools (e.g. Power BI) etc.Great interpersonal skillsExcellent communication skills (written and verbal)Strong attention to detailHighly organizedDesired Skills:
CFA and/or FRM certification
Responsibilities:
The VP - Counterparty Risk will:Lead with risk modelling team to define or enhance PFE methodology for existing or new productsLead efforts to establish back testing framework and analysis of the results for any remediation actionsMonitor CCR analytics for large DoD and MoM moves in PFEAnalyze/validate exposures (PFE) for any limit triggers and credit limit breachesPerform credit limit sizing and define maximum tenor limitsMonitor and review CVA limit frameworkProvide 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 transactionsProvide CCR slides for senior management discussion and committees (GRMC, RMC etc.)Perform Wrong Way Risk analysis for counterparties and enhance existing WWR frameworkOversees 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 issuesPerform other duties, as neededQualifications:
7+ years of experience in Counterparty Credit Risk, Market Risk, Front Office Modeling, or Valuation-related disciplinePhD or Master's 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 calculationUnderstanding 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 frameworkGood working experience in analyzing stress testing results and enhancing stress testing frameworkStrong technical skills, specifically Excel/VBA, python, data visualization tools (e.g. Power BI) etc.Great interpersonal skillsExcellent communication skills (written and verbal)Strong attention to detailHighly organizedDesired Skills:
CFA and/or FRM certification