Counterparty Risk Measurement
POSITION RESPONSIBILITIES
Primary responsibilities for the position are:
Understanding relevant business, regulatory and risk requirements; maintain awareness of, and understand impact of current regulatory trends and proposals.
Clearly defining and documenting requirements, processes, methodologies that are needed to develop and support Risk Management systems.
Working closely with Treasury to ensure appropriate recognition and delivery of data and metrics to meet regulatory requirements
Development of enhanced and robust counterparty stress testing capabilities
Working with team members to understand new products and new risks being incurred by the trading desks.
Coordinating with Credit Analytics group on risk methodology for the banks trading products.
Working with Credit Technology group on technical issues and providing input on strategic implementation plan.
Performing data analysis for various risk projects, and defining data validation rules and default rules. Partnering with Credit Analytics, Credit Technology and Treasury groups on data sourcing and data mapping issues.
Developing and providing expertise regarding trading products and counterparty risk management, including capital treatment, potential future exposure, aggregation methodologies and risk processes and systems.
POSITION REQUIREMENTS
Minimum Qualifications/Must Have:
Four year college degree;
7+ years experience in a capital markets environment
Strong computer skills (complete facility with Excel, Access, trading applications, and various market data services);
Strong communication and organizational skills; ability to direct resources and work across multiple constituencies;
Experience with a variety of asset classes and types of trading products preferably in a Risk Management role;
Experience/understanding of economic and regulatory capital related to counterparty risk exposure; familiarity with Basel proposals and requirements;
Exposure to credit risk (PFE, EL, credit capital) and/or market risk (valuation, monte carlo, greeks, VaR) methodologies and systems;
Experience with risk systems functional design and project management;
Familiarity with trading conventions and operating processes for trading instruments;
Personal characteristics: judgment, initiative, teamwork orientation, strong interpersonal and communication skills, and attention to detail.