Physician / New York / Permanent / VP - Counterparty Risk

A banking services organization in New York City is currently seeking an experienced Finance professional to join their team as their newVP - Counterparty Risk. In this role, theVP - Counterparty Risk will be responsible forleading 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 products

Lead efforts to establish back testing framework and analysis of the results for any remediation actions

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

Monitor and review CVA limit framework

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

Perform other duties, as neededQualifications:

7+ years of experience in Counterparty Credit Risk, Market Risk, Front Office Modeling, or Valuation-related discipline

PhD or Masters 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 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

Strong technical skills, specifically Excel/VBA, python, data visualization tools (e.g. Power BI) etc.

Great interpersonal skills

Excellent communication skills (written and verbal)

Strong attention to detail

Highly organizedDesired Skills:

CFA and/or FRM certification

Full Time