Exposure Management VP / Director
Core
Establish a quantitative measurement framework for counterparty credit risk exposures and partner with Capital Markets to measure limit usage and develop collateral frameworks.
Role type
senior IC quantitative risk manager (counterparty credit risk)
Builds
regulatory margin models, PFE/EAD/VaR models, stress testing scenarios, and aggregated risk reporting
Domain
Banking / Credit Risk Management / Quantitative Finance
Deliverable
production ML models | dashboards & analysis
Required skills
quantitative counterparty credit risk management, OTC derivatives, listed derivatives, financing products, data analysis, Python, Excel, ACCESS
Preferred skills
regulatory margin (SIMM) modeling, portfolio risk analysis, sensitivity analysis, scenario analysis, stress testing, wrong way risk analysis, haircuts/Independent-Amounts/Initial-Margin frameworks
Technologies
Python, Excel, ACCESS
Responsibilities
Oversee performance of regulatory required SIMM model, develop methodologies for haircuts/Independent-Amounts/Initial-Margin, utilize analytics to measure counterparty credit risk for limits and capital, implement credit risk measure quantification and aggregated reporting
Seniority
Senior, hands-on IC
