International Banking Client
Office Status: Hybrid (2 to 3 days in office per week)
Responsibilities:
- Model owner for market and counterparty credit risk models in the Americas
- Expert on market and counterparty credit risk transversal metrics, both from a regulatory and an economic standpoint
- Defining and monitoring internal models for calculating regulatory capital requirements for market and counterparty risks in compliance with regulation
- Performing periodical quality checks of the models in compliance with the regulatory framework
- Defining, in coordination with the FO, of the counterparty risk modelling used for the daily risk management
- Performing Counterparty risk quantification for non-automated products
- Defining the stress tests methodologies for global market and counterparty credit risks.
- Participate and lead model/measurement design related improvements for key metrics of the bank
- Organize, manage and deliver on working group and committee-based materials for senior management
- Ongoing monitoring of key measurement to identify design or implementation improvements
- Work with various end users to help improve their understanding of risk management metrics
- Close partnership with the model risk and enterprise risk management teams
- Ensure regulatory measurements comply to regulatory requirements and best practice