Vice President, Counterparty Credit Risk Analytics
$138,000–$185,000 year
Hybrid · New York City, New York, United States
Job Summary
Lead the development, enhancement and maintenance of Counterparty Credit Risk (CCR) models; drive data quality controls, model performance monitoring and calibration; collaborate with Risk IT to implement model changes; engage in CCR modeling discussions for new products; expose stakeholders to CCR analytics framework, derivatives and SFT valuation methodologies; translate complex risk analytics requirements into clearly defined mathematical problems and identify optimal modeling choices among multiple approaches; responsibilities include defining and enhancing PFE methodologies for existing and new products, performing root-cause analyses of MTM and PFE differences across valuation methodologies, coordinating with validation for model changes, and communicating modeling concepts to diverse stakeholders.
Required Qualifications
- PhD or Master’s degree in Financial Engineering, Mathematics, Computer Science, Statistics, or a related quantitative field
- Minimum 7+ years of experience in counterparty credit risk or market risk modeling
- Proven model development experience with CCR, XVA, VaR or stress testing, and familiarity with advanced CCR modeling techniques
- Strong knowledge of capital markets, derivatives products, SFT products, and related valuation methodologies
- Solid understanding of CCR concepts (PFE, EPE, collateral, netting) and regulatory requirements
- Excellent analytical, problem-solving and communication skills
- Proficiency in statistical programming languages (e.g. Python, SQL), and data visualization tools (e.g. Power BI)
- Strong project management skills and ability to manage multiple priorities and work effectively in a fast-paced and collaborative environment
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