Vice President Credit Risk Management (CCR Analytics)

Role Description

We are seeking a highly motivated and detail-oriented Vice President to join the Counterparty Credit Risk (CCR) Analytics team. This role will lead the development, enhancement and maintenance of CCR models. This position will also be responsible for driving improvements in data quality controls, model performance monitoring and model calibration. In addition, this role will lead discussions on CCR modelling for new products and collaborate with Risk IT team to implement model changes. This role offers significant exposure to the CCR analytics framework, derivatives and SFT valuation methodologies, and broader enterprise risk management practices.

Key Responsibilities

• Lead efforts to define and enhance PFE methodologies for both existing and new products.
• Drive CCR modeling requirements and partner with Risk IT team for implementation.
• Identify model weakness and limitations and develop remediation actions and compensating controls.
• Perform root-cause analysis to identify MTM and PFE differences across different valuation methodologies.
• Work closely with validation group for model changes and address model validation findings.
• Perform model calibration and ongoing monitoring activities, including root-cause analysis of breaches and development of remediation actions.
• Communicate complex modeling concepts and results to a diverse range of stakeholders.

Qualifications and Skills

• PhD or Master’s degree in Financial Engineering, Mathematics, Computer Science, Statistics, or a related quantitative field.
• Professional certifications (e.g. CFA, FRM) are a plus.
• 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) etc.
• Strong project management skills and ability to manage multiple priorities and work effectively in a fast-paced and collaborative environment.

Pay

The anticipated salary range for this role is between $138,000.00 and $185,000.00. The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire.

Schedule

This role offers a Hybrid workforce model that provides employees with an opportunity to work from home, as well as, from an SMBC office. SMBC requires that employees live within a reasonable commuting distance of their office location. Prospective candidates will learn more about their specific hybrid work schedule during their interview process.

Benefits

SMBC offers a competitive portfolio of benefits to its employees, including:

• Hybrid workforce model
• Reasonable accommodations during candidacy for applicants with disabilities consistent with applicable federal, state, and local law

Pay and Schedule

The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire. This role offers a Hybrid workforce model that provides employees with an opportunity to work from home, as well as, from an SMBC office. SMBC requires that employees live within a reasonable commuting distance of their office location.

Benefits

SMBC provides reasonable accommodations during candidacy for applicants with disabilities consistent with applicable federal, state, and local law. If you need a reasonable accommodation during the application process, please let us know at accommodations@smbcgroup.com.