Vice President, First Line Exposure Optimization

BNY Mellon•New York, NY

28d•$69,000 - $185,000•Onsite

About The Position

We’re seeking a future team member for the role of Vice President, First Line Exposure Optimization to join our First Line Risk team in Markets. This role is located in New York, NY. In this role, you’ll make an impact by performing quantitative analysis of counterparty and portfolio risk across the Securities Finance and Prime Services businesses, including stress testing, scenario and sensitivity analysis, concentration risk, exposure attribution and liquidity risk. You will develop, enhance, document, and back-test risk methodologies, including margin, haircut, stress, concentration and exposure frameworks, using historical and forward-looking market scenarios. You will analyze large and complex datasets to identify emerging risks, crowded exposures, wrong-way risk, collateral deterioration and changes in counterparty risk profiles. You will build and enhance automated risk analytics, dashboards and exception-monitoring tools to improve intraday and end-of-day transparency. You will identify counterparty risks and lead escalation of material exposures, limit breaches and portfolio vulnerabilities to senior management. You will monitor counterparty, market, collateral and liquidity exposures; lead the timely escalation and resolution of material limit breaches, margin shortfalls, portfolio vulnerabilities with senior stakeholders. You will partner with Trading, Sales, Credit Risk, and Margin teams to evaluate new prospects and changes to client terms from a risk/reward perspective. You will evaluate risk-adjusted returns and financial resource consumption to help optimize deployment of balance sheet, capital and risk capacity. You will help expand the various house margin and haircut methodologies built in coordination with 2nd Line and Margin Department. You will improve the non-Standard collateral limit framework within the principal business and help source the collateral at right margins to minimize risk. You will drive continuous improvement and automation of risk processes within the Securities Finance space, including identification of opportunities to leverage AI and advanced analytics. You will lead portfolio reviews and management reporting that clearly communicate key exposures, trends, breaches, emerging risks and recommended actions to senior management and relevant governance forums. You will coordinate counterparty stress events and default-management “fire drills,” including scenario design, exposure assessment, action tracking and post-event lessons learned.

Requirements

Experience in In-Business Market Risk, Credit Risk, Prime Finance Risk, Repo Risk or other client/trading desk facing risk function
Strong understanding of market risk, counterparty credit risk, collateral risk, leverage and liquidity risk within financing businesses
Bachelor’s degree of a quantitative discipline (Finance, Math, Science/Engineering or Quantitative Finance) or equivalent
Strong quantitative background with demonstrated ability to analyze large and complex financial datasets
Hands-on experience with risk analytics, stress testing, scenario analysis, back-testing and/or quantitative model development
Strong technical skills in Python, SQL and/or similar analytical tools
Advanced Excel skills and experience working with market and position-level datasets; familiarity with Bloomberg or similar market-data platforms preferred
Ability to understand and challenge quantitative methodologies, model assumptions and risk parameters
Strong written and verbal communication skills, with the ability to explain complex quantitative concepts into clear conclusions and recommendations for senior management
Strong commercial judgment and ability to balance risk management objectives with business considerations.
Ability to operate effectively in fast-moving markets, prioritize competing issues and make sound risk judgments with incomplete information.

Nice To Haves

6 years of total work experience (preferred)

Responsibilities

Perform quantitative analysis of counterparty and portfolio risk across the Securities Finance and Prime Services businesses, including stress testing, scenario and sensitivity analysis, concentration risk, exposure attribution and liquidity risk
Develop, enhance, document, and back-test risk methodologies, including margin, haircut, stress, concentration and exposure frameworks, using historical and forward-looking market scenarios
Analyze large and complex datasets to identify emerging risks, crowded exposures, wrong-way risk, collateral deterioration and changes in counterparty risk profiles
Build and enhance automated risk analytics, dashboards and exception-monitoring tools to improve intraday and end-of-day transparency
Identify counterparty risks and lead escalation of material exposures, limit breaches and portfolio vulnerabilities to senior management
Monitor counterparty, market, collateral and liquidity exposures; lead the timely escalation and resolution of material limit breaches, margin shortfalls, portfolio vulnerabilities with senior stakeholders
Partner with Trading, Sales, Credit Risk, and Margin teams to evaluate new prospects and changes to client terms from a risk/reward perspective
Evaluate risk-adjusted returns and financial resource consumption to help optimize deployment of balance sheet, capital and risk capacity
Help expand the various house margin and haircut methodologies built in coordination with 2nd Line and Margin Department
Improve the non-Standard collateral limit framework within the principal business and help source the collateral at right margins to minimize risk.
Drive continuous improvement and automation of risk processes within the Securities Finance space, including identification of opportunities to leverage AI and advanced analytics.
Lead portfolio reviews and management reporting that clearly communicate key exposures, trends, breaches, emerging risks and recommended actions to senior management and relevant governance forums.
Coordinate counterparty stress events and default-management “fire drills,” including scenario design, exposure assessment, action tracking and post-event lessons learned.