Physician / New York

A banking services organization in New York City is currently seeking an experienced Finance professional to join their team as their newVP - Counterparty Risk. In this role, theVP - Counterparty Risk will be responsible forleading counterparty credit risk analytics with core focus on understanding PFE modeling and analyzing various modeling approaches.

Responsibilities:

The VP - Counterparty Risk will:
•  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
•  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
•  Perform other duties, as needed Qualifications:
•  7+ years of experience in Counterparty Credit Risk, Market Risk, Front Office Modeling, or Valuation-related discipline
•  PhD or Masters Degree in Quantitative field (Finance, Mathematics, Engineering, Physics, Computer Science, or Statistics)
•  Strong knowledge and understanding of Capital Markets, derivatives products, and derivatives valuation/PFE calculation
•  Understanding of xVA calculations such as CVA, DVA, FVA, KVA, MVA, etc.
•  Experience in working with internal developers, data sourcing teams and external vendors to drive development of CCR analytics, system infrastructure and overall CCR framework
•  Good working experience in analyzing stress testing results and enhancing stress testing framework
•  Strong technical skills, specifically Excel/VBA, python, data visualization tools (e.g. Power BI) etc.
•  Great interpersonal skills
•  Excellent communication skills (written and verbal)
•  Strong attention to detail
•  Highly organized Desired Skills:
•  CFA and/or FRM certification