Associate, Counterparty Credit Risk Model Specialist

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