VP, Counterparty Risk Analytics

About the role

A global investment bank is seeking a Vice President for its Counterparty Risk Analytics team. The primary focus will be on enhancing Potential Future Exposure (PFE) modeling and analyzing various modeling approaches. The role involves leading discussions on modeling new products, driving the implementation of new models, and enhancing existing ones. Responsibilities also include ongoing counterparty surveillance, risk exposure monitoring, ad-hoc analysis, and collaboration with the front office on exposure estimation.

Responsibilities

• Monitor models and analyze results for any remediation action.
• Define and enhance methodology for existing and new products.
• Conduct model reviews and ensure compliance with regulatory standards.
• Identify model risks and limitations.
• Analyze stress testing results and enhance frameworks.

Requirements

• Minimum of 4+ years of experience in counterparty risk or market risk modeling.
• PhD or Master’s degree in Mathematics, Statistics, or a related field.
• Strong knowledge of derivatives products and derivatives valuation/PFE calculation.
• Model development experience with CCR/XVA, VaR, FRTB, or Stress Testing.
• Proficiency in statistical programming languages.

Skills

• Excellent analytical and problem-solving skills.
• Strong communication skills.

Candidates with PFE Modeling or Validation experience are encouraged to apply.