A top International Investment Bank is looking to hire a VP-level Risk Manager to join their Quantitative Exposure Management Team. This position will assist in developing the firm's Counterparty Credit Risk framework and will report to the Head of Market Risk.
The ideal candidate has 5+ years of experience in quantitative counterparty credit risk management, strong programming and data analysis skills, and expert knowledge of risk associated with OTC and listed derivatives.
- Develop and enhance the Quantitative Exposure Management framework, performing portfolio risk analysis to define limit usage and collateral requirements
- Partner with stakeholders across the firm to establish the Initial Margin/Haircut methodology
- Oversee regulatory activity related to SIMM model requirements
- Create and utilize tools and analytics to measure limits and capital for counterparty credit risk exposures
- 5+ years experience in a quantitative counterparty credit risk function
- Master's Degree or PhD in a quantitative discipline
- Expertise with OTC derivatives, listed derivatives, and financing products
- Familiarity with PFE/EAD and VaR models, scenario and sensitivity analysis, stress testing, and SIMM modelling
- Proficiency in Python, Excel, and/or SQL and R required