| The Credit Risk and Quant Analysis role reports directly into the Directors of Counterparty Credit Risk Management. The Counterparty Credit Risk (CCR) team is responsible for developing and maintaining the methodologies to calculate risk exposures of OTC derivatives, Repo and Security Lending transactions. The models are used for advanced Basel regulatory capital calculations, stress testing, and internal risk management measures. Additional responsibilities include: CCR policies, standards and procedures, credit limits, exposure aggregation, concentrations, margin practices, collateral terms, close-out procedures, specific and general wrong-way risk and back testing of risk metrics. Responsibilities: Runs CCR models (stress testing, back testing and settlement risk) that meet internal and external requirements. Assist in maintaining, testing and improving CCR models; handles calibration, simulation and pricing across all major asset classes. Formalizes testing protocols and processes to ensure that risk analytics deliverables that require system implementation are thoroughly tested, documented and signed off ahead of production release. Assist in setting and monitoring CCR limits. Ensures key risks and issues are identified, documented, mitigated and communicated to the appropriate stakeholders in a timely manner. Develops robust reporting to facilitate effective executive management requirements. Performs statistical analysis of large volume of financial data, such as historical data analysis. Works with IT on systems implementation. Oversees and ensures consistent quality control, accuracy, and compliance with internal policies and regulatory requirements for reporting processes. Manages risk analytics regulatory and BAU projects to ensure fulfillment of requirements and a timely delivery. Creates and maintains project plans and status reports. Establishes and manages project forums as appropriate; prepares meeting materials and minutes. Qualifications: 1 to 5+ years Counterparty Credit or Fixed Income/Derivatives Risk experience within the financial industry. Strong Knowledge of SQL, Python or VBA (Visual Basic). Knowledge of Credit/Derivatives/OTC and Lending products, stochastic calculus and linear algebra. Preferably a Master Degree in Statistics, Math or Engineering. Ability to analyze risk and design efficient control practices to manage risk. This Credit Risk and Quant Analysis role is located in midtown Manhattan New York so please only apply if you are able to travel to this location, have relevant experience for the role and are eligible to legally work in the United States. The salary range is $90-120k base plus discretionary bonus, dependent on experience and educational qualifications. If your profile matches the above criteria, please contact me on **trishan.khareghat@roberthalf.com** |
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