AVP/VP Credit Risk Analytics
Salary $120000 - $200000 per year
Location New York
Consultant Michael Kang
Date posted June 26, 2017
My client is looking for a mid level quantitative analyst with strong credit risk experience to join their analytics team.
My client is a major international investment bank.
The Counterparty Credit Risk Pre-Deal team is a core function within the Credit Risk Portfolio Management team of the overall Risk division. The group is responsible for analyzing pre-deal credit exposures for the whole spectrum of derivative products. The group also performs analysis on counterparty portfolios, highlighting possible extreme movements in MtM driven by market factors and making Credit Risk Management aware of highly structured or highly sensitive transactions. EMG’s mandate also includes defining clearing / Prime Brokerage margining methodologies, management of the SPV repack portfolio, and review/approval of IMM methodologies in the credit risk engine. Furthermore, CCR Pre-Deal is deeply involved in initiatives to ensure compliance with existing and upcoming regulatory requirements applicable to CRM.
We’re closely aligned to our business and infrastructure partners, ensuring that together we achieve the Bank’s aspiration to be the leading client-centric global universal bank.
The team performs comprehensive pre-deal assessment of complex / structured transactions using quantitative/qualitative risk management techniques such as VAR, Potential Future Exposure (PFE), back-testing, scenario / stress testing, dynamic credit hedging & other risk enhancements, and identification of other non-trivial risks (liquidity, wrong-way, dislocation, concentration risk, gap risk). Scope encompasses:
- all counterparty types
- all derivatives/financing products (rates, FX, equity, credit, commodity, emerging markets, structured products)
- all businesses (franchise, wealth management, prime brokerage, cleared, listed, repos, stock loan borrow)
This may involve working with existing spreadsheet tools or setting up customized tools which use the bank’s internal pricing models. We ensure consistency in approaches among the various locations.
The overall CRPM group is also responsible for stress testing of the counterparty derivatives portfolio and for reviewing stress test methodology including shock calibration, defining bottom-up counterparty specific scenarios as well as top down historical / research based macro scenarios. The results are presented to credit officers, senior management, as well as to regulators. The group also performs ad-hoc stress/scenario analysis showing impact of various market events on the counterparty derivatives portfolio.
CRPM also undertakes a variety of infrastructure/methodology projects such as un-cleared margining model approval, strategic stress testing infrastructure to deliver various regulatory stresses such as CCAR or EBA largest counterparty default stress, strategic pre-deal checking infrastructure/work-flow design requiring interaction with other departments such as Market Risk Management, Technology, and Risk Operations.
- Perform analysis of credit risk of individual derivative trades, typically structured, across all products in the firm - fixed income, equities, commodities, emerging markets, asset-backed and foreign exchange for transaction approval and counterparty portfolio assessment.
- Pre-deal trade level initial margin calculation for derivatives & collateral haircut calculation for complex financings
- Review portfolio based prime brokerage (Rates, FX, Equities, Credit), Wealth Management Advance Ratios, and clearing house (CCP) margining methodologies
- Daily interaction with credit officers and front office sales, structuring and trading to discuss trade structures
- Perform ad-hoc scenario analyses and stress tests across portfolios of counterparties and business lines.
- Participate in discussions of risk mitigation for large complex transactions.
- Active involvement with CCR Pre-Deal colleagues globally on transactions, methodology/tool development, and other strategic initiatives
Qualifications & Skills
- Several years’ experience in a similar role
- Solid mathematical skills including probability and statistics
- Strong analytical skills and attention to details
- Strong derivative product knowledge across all asset classes and knowledge of financial markets, traded products, and risk concepts
- Good understanding of counterparty credit risk both on trade and portfolio level
- Excellent interpersonal and analytical skills & a team player
- Experienced in methodology development for financial products and ability to communicate technical documents to non-technical audiences
- Understanding of various pricing models
- Excellent communication skills, both written and oral
- Ability to multi-task and prioritize resources among various projects
- Strong mathematical and statistical background but able to simplify complex concepts for a non-technical audience
- Enthusiastic and driven to achieve high quality results
- Able to work under pressure and to a tight deadlines
- Able to demonstrate high integrity and invite challenging views
- Able to demonstrate intellectual curiosity and innovation