What are the responsibilities and job description for the Head of Counterparty Credit Risk position at Michael Page?
Lead with risk modelling team to define or enhance PFE methodology for existing or new products
Lead efforts to establish back testing framework and analysis of the results for any remediation actions
Client Details
Top tier investment bank in NYC
Description
Lead with risk modelling team to define or enhance PFE methodology for existing or new products
Lead efforts to establish back testing framework and analysis of the results for any remediation actions
Monitor CCR analytics for large DoD and MoM moves in PFE
Analyze/validate exposures (PFE) for any limit triggers and credit limit breaches
Perform credit limit sizing and define maximum tenor limits
Analyze stress testing results and enhance existing stress testing framework
Perform XVA analysis and present in committee meetings
Profile
* 5 Years of experience in counterparty credit risk or market risk or front office modeling or valuation related discipline
* PhD or master's degree in quantitative field
* xVA, CVA, DVA knowledge
Job Offer
Competitive Compensation
Quantitative Role
MPI does not discriminate on the basis of race, color, religion, sex, sexual orientation, gender identity or expression, national origin, age, disability, veteran status, marital status, or based on an individual's status in any group or class protected by applicable federal, state or local law. MPI encourages applications from minorities, women, the disabled, protected veterans and all other qualified applicants.
Lead efforts to establish back testing framework and analysis of the results for any remediation actions
Client Details
Top tier investment bank in NYC
Description
Lead with risk modelling team to define or enhance PFE methodology for existing or new products
Lead efforts to establish back testing framework and analysis of the results for any remediation actions
Monitor CCR analytics for large DoD and MoM moves in PFE
Analyze/validate exposures (PFE) for any limit triggers and credit limit breaches
Perform credit limit sizing and define maximum tenor limits
Analyze stress testing results and enhance existing stress testing framework
Perform XVA analysis and present in committee meetings
Profile
* 5 Years of experience in counterparty credit risk or market risk or front office modeling or valuation related discipline
* PhD or master's degree in quantitative field
* xVA, CVA, DVA knowledge
Job Offer
Competitive Compensation
Quantitative Role
MPI does not discriminate on the basis of race, color, religion, sex, sexual orientation, gender identity or expression, national origin, age, disability, veteran status, marital status, or based on an individual's status in any group or class protected by applicable federal, state or local law. MPI encourages applications from minorities, women, the disabled, protected veterans and all other qualified applicants.
Salary : $70 - $80
