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VP Market and Counterparty Risk

City of Daşşak, NY, United States

The risk management department is responsible for market, model, liquidity, credit, foreign exchange, operational and legal risks associated with the firm's business and manages those risks directly or through each related departments and groups. The department is organized into four functional groups - Credit Risk Group, Market Risk and Analytics Group, Model Risk Group, and the Operational & Regulatory Risk Group. The Credit Risk Group maintains sound credit management activities liaising where necessary with other departments to review and assess credit risk, monitor credit exposure and provide guidance on credit limits in accordance with policies and procedures. Within Credit Risk Group, counterparty credit risk team performs risk measurement/CCR analytics and risk exposure analysis/risk management.

Role Objectives

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 (New deal activity and existing trade portfolio)

Analyze stress testing results and enhance existing stress testing framework

Perform XVA analysis and present in committee meetings

Review top 20 counterparty exposures and collateral balances

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

Undertakes other credit control tasks and projects as required

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