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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