Associate Director Credit Rating Risk Models

Full Time

Financial Services Client

Office Status: Hybrid

Job Description:

  • The Associate Director, Credit Rating Risk Models within Counterparty Credit Risk (CCR) team is responsible for oversight, maintenance, and enhancement of the Credit Risk Rating Matrix (CRRM).
  • The Counterparty Credit Risk team is primarily responsible for assessing the financial stability of DTCC’s member firms by interpreting financial statements of banks, broker-dealers, and other financial firms.
  • The CCR team performs several processes, including member reviews, ongoing surveillance, earnings releases, and new Member applications.
  • The CCR team also maintains the Credit Risk Rating Matrix (CRRM), assesses compliance with established financial parameters, and monitors accounting and regulatory announcements that impact member firms.

Responsibilities:

  • Oversee the full recalibration of the CRRM models with Quantitative Risk Management (QRM) every 3-5 years
  • Maintain a tracking log of suggested improvements to the CRRM models, based on feedback from CCR team, Model Validation and Control (MVC), and QRM, as well as research on industry best practices
  • Conduct research to benchmark CRRM vs. other rating tools, including external rating agencies, firms that aggregate credit ratings, and other relevant sources. Act as a point person on negotiations with any potential vendors that could assist with benchmarking.
  • Conduct training and oversee ongoing enhancement to guidance for qualitative factor assessments, including adding quantitative factors for guidance, with the goal of improving consistency of assessments across firms and analysts, and over time
  • Compile Portfolio Reviews of DTCC member firms, which provide a high-level overview of the population of members.
  • Assist with creation and review of model performance monitoring reports and presentation of information to internal risk committees
  • Partner with the CCR team on any credit rating or model related questions pertaining to day-to-day usage
  • Coordinate any enhancements or changes to the model with our IT team for development and build
  • Participate in audit and regulatory exams/ meetings
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