Derivative Counterparty Risk Analyst

U.S. Bank•Chicago, NY

6d•Hybrid

About The Position

The Counterparty Risk Group manages and controls counterparty risk at U.S. Bank. It independently reviews counterparty risk across the business, analyzes the derivative portfolio for internal and external stakeholders, and manages the counterparty risk governance control framework. The Derivative Counterparty Risk Analyst conducts pre-trade counterparty credit risk analysis for products including interest rate, foreign exchange, commodity, and credit derivatives, as well as repo transactions. The analyst quantifies exposure using Expected Exposure (EE), Potential Future Exposure (PFE), and stressed exposure metrics to evaluate adverse market movements and counterparty default risk. The role assesses proposed transactions against approved credit limits, risk appetite, collateral arrangements, and regulatory requirements before trade execution. In collaboration with trading, credit, and risk management teams, the analyst identifies material risk concentrations, recommends risk mitigants, and supports accurate measurement, monitoring, and control of counterparty credit risk across the trading portfolio. This role requires working from a U.S. Bank location three or more days per week.

Requirements

Bachelor's degree or equivalent work experience.
Typically more than six years of applicable experience.
Strong analytical and quantitative skills, including the ability to evaluate and interpret complex risk exposures.
Understanding of counterparty credit risk concepts, including Expected Exposure (EE), Potential Future Exposure (PFE), CVA, collateral management, and netting agreements.
Knowledge of interest rate derivatives, FX derivatives, commodity derivatives, credit derivatives, and repo transactions.
Ability to assess transactions against counterparty credit limits and identify material risk drivers.
Strong communication skills and ability to present risk assessments and recommendations to trading, credit, and senior risk management stakeholders.
Ability to work effectively in a fast-paced trading and risk management environment.

Nice To Haves

A bachelor's degree in Finance, Economics, Mathematics, Statistics, Engineering, Physics, Computer Science, or a related quantitative discipline, with 2–4 years of experience in counterparty risk, market risk, trading, CVA, or a related quantitative risk management function.
A master's degree in Finance, Financial Engineering, Mathematics, Statistics, Economics, Engineering, or a related quantitative field, with 1–2 years of relevant experience in counterparty risk, market risk, trading, CVA, or quantitative analytics.
Proficiency in data analysis and risk reporting tools.
Experience with Python, SQL, VBA, or risk management platforms.

Responsibilities

Conduct pre-trade counterparty credit risk analysis for interest rate, foreign exchange, commodity, and credit derivatives, and repo transactions.
Quantify counterparty exposure using Expected Exposure (EE), Potential Future Exposure (PFE), and stressed exposure metrics.
Evaluate proposed transactions against approved credit limits, risk appetite, collateral arrangements, and regulatory requirements before execution.
Identify material risk concentrations and recommend risk mitigants where appropriate.
Work with trading, credit, and risk management teams to ensure counterparty credit risk is accurately measured, monitored, and controlled across the trading portfolio.
Produce detailed analysis of the derivative portfolio for internal and external constituents.

Benefits

Healthcare coverage, including medical, dental, and vision.
Basic term and optional term life insurance.
Short-term and long-term disability insurance.
Pregnancy disability and parental leave.
401(k) and employer-funded retirement plan.
Paid vacation of two to five weeks, depending on salary grade and tenure.
Up to 11 paid holiday opportunities.
Adoption assistance.
Sick and Safe Leave accruals of one hour for every 30 hours worked, up to 80 hours per calendar year unless otherwise provided by law.
Incentive and recognition programs.
Equity stock purchase.