Quantitative Finance Manager - Counterparty Credit Risk
About The Position
This job is responsible for leading a team to develop or validate quantitative analytics and models for specific business units or risk types. Job expectations include supporting business units and acting as a subject matter expert on specified quantitative modeling techniques, as well as serving as the first or second line of defense overseeing model performance, model risk, and model governance on critical model portfolios. This job is responsible for conducting quantitative analysis for counterparty credit risk (CCR) that arise in the Global Markets business. The role will support management of various counterparty limit frameworks (Stress Gap, Wrong Way Risk, Contingent Market Risk), monitoring secondary risk factors, point of weakness analysis of the CCR portfolios, and generating management reporting to internal stakeholders, governance and regulators. Manage counterparty stress-based concentration limit frameworks across asset classes, product types and industry sectors. Perform BAU CCR stress testing including scenario design, implementation and analyzing results to explain key drivers of risk exposures. Partner with the Credit Officers, Enterprise Credit Risk, FLU Sales & Trading on CCR limit calibration and new trade approvals to support the underwriting process. Lead TOH and sector specific CCR portfolio reviews along with specialized deep dives on individual counterparties. Develop and maintain risk analytics, secondary Points of Weakness measures to adequately support products and risks to client strategies, develop supplementary risk analysis based on material Risk ID. Collaborate with Market Risk coverage to apply consistent risk approach. Represent CCR in regulatory exams and ongoing monitoring, addressing regulatory findings, and presenting on special topics. Monitor CCR model performance and challenge GRA to enhance models.
Requirements
- Solid understanding of derivative products with broad knowledge across asset classes (FX, rates, equity, commodities and credit)
- Knowledge of counterparty risk measurement techniques on derivatives and financing transactions
- Excellent communication skills both written and verbal
- Self-starter who excels in a fast paced environment
- Strong computer skills
- Master’s degree in related field or equivalent work experience
Nice To Haves
- Degree in finance/economics / statistics
- Prior experience in a risk manager role covering Global Markets products
Responsibilities
- Leads a quantitative team with model coverage of specified focus areas and oversees stakeholder engagement, including team effort in preparation for audit and regulatory exams
- Sets priorities related to quantitative modeling in line with the bank’s overall strategy and prioritization
- Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation
- Maintains and provides oversight of model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite
- Leads and provides methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk
- Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes
- Manage counterparty stress-based concentration limit frameworks across asset classes, product types and industry sectors.
- Perform BAU CCR stress testing including scenario design, implementation and analyzing results to explain key drivers of risk exposures.
- Partner with the Credit Officers, Enterprise Credit Risk, FLU Sales & Trading on CCR limit calibration and new trade approvals to support the underwriting process.
- Lead TOH and sector specific CCR portfolio reviews along with specialized deep dives on individual counterparties.
- Develop and maintain risk analytics, secondary Points of Weakness measures to adequately support products and risks to client strategies, develop supplementary risk analysis based on material Risk ID. Collaborate with Market Risk coverage to apply consistent risk approach.
- Represent CCR in regulatory exams and ongoing monitoring, addressing regulatory findings, and presenting on special topics.
- Monitor CCR model performance and challenge GRA to enhance models.
Benefits
- Access to paid time off
- Resources and support to our employees
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What This Job Offers
Job Type
Full-time
Career Level
Manager
