- 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 (New deal activity and existing trade portfolio)
- 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
- Undertakes other credit control tasks and projects as required
The Successful ApplicantQualifications and Skills
- Minimum 7+ years of experience in counterparty credit risk or market risk or risk related discipline
- Master's or bachelor's degree in quantitative field such as 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
- Solid organizational skills and ability to managing large scale complex projects
- Strong technical skills required - Excel/VBA, python, data visualization tools (e.g. Power BI) etc.
- Skilled at independently researching topics using all means available to discover relevant information
- Strong communication skills
- Ability to work in a team environment
- Strong collaboration skills to work with different stakeholders and builds positive relationships to drive mandates for the team and organization
- Self-starter with ability to multi-task and to maintain momentum
- Be very hands-on to use available data for analysis and very diligent to build consensus with different stakeholders to drive decision making
- Progress towards CFA and/or FRM certification preferred
What's on OfferCompetitve Package
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Head of Counterparty Credit Risk Management - New York, United Kingdom - Page Executive
Description
About Our Client
A top-tier global financial group
Job Description
Role Objectives
