VP – Model Validation – 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 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 testing the accuracy of derivatives exposures
- 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
- Implementing IMM for Basel 2 and 3 applications and justifying the appropriateness of models
- 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
APPLY | risk.americas@gqrgm.com
VISIT US | www.gqrgm.com
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. Please ask for Kasey Churchill in our LA office (310 807 5025). Utmost confidentiality and discretion is assured.
LOS ANGELES | 1.310.807.5030
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GQR Global Markets
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