Overview
Physician/VP – Counterparty Risk Jobs in New York City, USA at Tandym Health
Position: Physician / New York / Permanent / VP – Counter party Risk Job
A banking services organization in New York City is currently seeking an experienced Finance professional to join their team as their newVP – Counter party Risk. In this role, theVP – Counter party Risk will be responsible for leading counter party credit risk analytics with core focus on understanding PFE modeling and analyzing various modeling approaches.
Responsibilities:
The VP – Counter party 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
- 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 counter parties and enhance existing WWR framework
- Oversees production of daily counter party credit exposure reports for accuracy and comprehensiveness.
- Liaise with various groups within Capital Markets for the quick resolution of credit exposure-related issues
Qualifications:
- 7+ years of experience in Counter party 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.
- Excellent communication skills (written and verbal)
- Strong attention to detail
Desired Skills:
Title: Physician/VP – Counterparty Risk
Company: Tandym Health
Location: New York City, USA
Category:
