Skip Navigation
International Banking Client

VP, Counterparty Credit Risk Analytics

  • New York, NY
  • Full Time

Apply for the VP, Counterparty Credit Risk Analytics position

"*" indicates required fields

Max. file size: 10 MB.
Drop files, or upload here
Madison-Davis is committed to protecting and respecting your privacy, and we will only use your personal information to contact you regarding the services you requested from us. Your contact information will not be shared or sold to third parties for marketing purposes. We would like to contact you about our products and services, as well as other content that may be of interest to you; messaging frequency will vary based on hiring needs and opportunities. If you consent to us contacting you for this purpose, please check the box below.
I agree to receive communications from Madison-Davis
You may unsubscribe from these communications at any time by replying STOP. You may also text HELP for more information. Mobile messaging and data rates may apply.
This field is for validation purposes and should be left unchanged.

Office Status: Hybrid – 2 to 3 days a week

Compensation: $150,000 to $200,000

Responsibilities:

  • Engage with risk modelling team to define or enhance PFE methodology for existing or new products
  • Analyze/validate exposures (PFE) for any limit triggers and credit limit breaches
  • Monitor CCR analytics for large DoD and MoM moves in PFE
  • Perform credit limit sizing and define maximum tenor limits (New deal activity and existing trade portfolio)
  • Analyze stress testing results and enhance existing stress testing framework
  • Perform XVA analysis and present in committee meetings
  • Review top 20 counterparty exposures and collateral balances
  • Monitor and review CVA limit framework
  • Provide month-end commentary for large exposure moves in top 20 exposures, for industry/country exposures, for product exposure analysis across IR, FX and non-derivative transactions
  • Provide CCR slides for senior management discussion and committees (GRMC, RMC etc.)
  • Perform Wrong Way Risk analysis for counterparties and enhance existing WWR framework
  • Oversees production of daily counterparty credit exposure reports for accuracy and comprehensiveness.
  • Liaise with various groups within Capital Markets for the quick resolution of credit exposure-related issues
  • Undertakes other credit control tasks and projects as required