Head of Counterparty Credit Risk

New York Permanent USD150,000 - USD190,000 per year
  • Counterparty credit exposure.
  • Leadership position.

About Our Client

Top tier investment bank in NYC

Job 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

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.

The Successful Applicant

* 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

What's on Offer

Competitive Compensation

Quantitative Role

Tina Zoppi
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Job summary

Banking & Financial Services
Sub Sector
Risk Management
Financial Services
New York
Contract Type
Consultant name
Tina Zoppi
Job Reference