VP – Counterparty Exposure Calculations, CVA, IMM, Basel 2/3
JOB DESCRIPTION
The Counterparty Risk team is looking to have an experienced CVA risk quant to join the group. You will be engaged on various projects to strengthen counterparty credit exposures. Since Basel III is becoming a bigger focus, the team needs a subject matter expert who is well-versed in the regulatory requirements and has had hands-on experience.
We are looking for candidates who are currently in a counterparty credit risk team in a modeling or validation function. This role will allow you to gain a “bigger picture” exposure rather than focusing solely on a risk management type role. The team is responsible for monitoring the performance of credit risk models and IMM capital calculations. Additionally, you will support the credit risk group by calculating risk metrics and exploring existing exposures.
Responsibilities:
- Building simulations, pricing validation, and backtesting models for counterparty credit risk
- Developing a deep understanding of existing models and their limitations
- Developing frameworks for calculations of parameters for RWA computations as required by Basel III
- Reviewing IMM (internal model methodology) for all risk and pricing models in relation to counterparty exposure management
- Developing, explaining, and monitoring performance and enhancing all counterparty credit exposure models
- Collaborating with CVA quant modeling group to enhance the simulation and pricing models.
Required skills:
- Min MS/PhD in quantitative discipline (math, statistics, engineering,, computer science, etc)
- Min 4-6 years of counterparty risk/ CVA experience, validation experience preferred.
- Solid understanding of counterparty credit risk, regulatory requirements, Basel III, modeling and analytics
- Computer skills: VBA, Matlab, R, SAS, SQL, C++, or Java
- Excellent communication skills (verbal and written)
Keywords: counterparty credit risk, CVA, consultant, risk analyst, risk modeling, Basel III, regulatory risk, quantitative risk, Basel II, IMM, internal modeling methodology, SQL, data, counterparty exposure management, exposure calculations, regulatory capital, New York
Although preferable, we do not require a CV, please feel free to get in touch regarding this role to talk to a member of the team to discuss this role. For more current openings with our clients, please see www.g-q-r.com/vacancies
We Welcome speculative and tentative applications roles and others of a similar nature that we may have available on our books.
Applying: risk.americas@gqrgm.com
Search Consultant: Kasey Churchill –please mention job title
Contact Telephone Number: +310-807-5030
Linked In: http://www.linkedin.com/e/vgh/1615777
Website: www.G-Q-R.com
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