VP, Counterparty Credit Risk Model Specialist

Full Time

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
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