Counterparty Credit Risk Quant Senior Manager

Morgan McKinley
London, United Kingdom
12 May 2022
11 Jun 2022
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Job Summary
  • London
  • Permanent
  • BBBH809077
  • May 11, 2022
  • Competitive

Job Description
Global bank is seeking a Senior Manager level Counterparty Credit Risk Quant as part of its expanding Risk Analytics and Methodologies division.

The purpose of the role is to support and further develop the Bank's counterparty credit risk (CCR) methodology framework. There will be cross skilling opportunities across credit and market risk methodology frameworks.

Key objectives:

* Monitoring and maintenance of the CCR methodology framework, covering all risk factor and pricing models. The CCR risk measures (PFE, EPE, ENE) are used to monitor counterparty exposure against limits and are input into the portfolio XVA and credit economic capital calculations. The risk factor models are recalibrated on a regular basis to ensure the latest market data are incorporated in these measurements. The risk model performance is regularly reviewed (back test) to ensure the models are performing as expected.

* Enhancement of the CCR methodology framework. Calibration enhancement and model redevelopment of underperforming risk factor and pricing models. Extension of the monitoring framework to include portfolio back testing. Extension of the portfolio simulation coverage.

* Support of the IOSCO IM BAU and Model framework. This includes daily IM monitoring in the form of model related dispute process support and taking account of IM in the CCR framework. Support the internal model risk framework in the form of internal back testing, calibration and risk not in SIMM management and annual model review with model validation. Participation in industry and regulatory activities. This includes the weekly ISDA SIMM workgroup and support of regulatory reviews, which tracks ISDA SIMM model monitoring and model changes and updates.

* Support of the ICAAP and CCR stress testing process. Liaising with credit and country risk in stress scenario definition, monthly running of CCR stress tests, analyzing and reporting results.

* Support of the CCR BAU framework. The Bank's CCR system is a vendor system: FIS Adaptiv Credit Risk (ACR) and Adaptiv Analytics (AA). All methodology related BAU activities are supported, which includes regular system updates and system upgrades. * Support of the Run-the-Bank framework. Enabling the functional model owner (Credit Risk) and other users to independently use the CCR system to support their risk management activities. This includes limit management in relation to new transactions and exposure related questions.

* Support of the new product approval process to ensure the model framework supports and continues to support appropriate risk management of new business. * Support the model risk framework. Submit regular model review to model validation to perform their independent review and address model validation recommendations. Support the model governance process through representation in risk forums and committee meetings. Support internal audit review and address audit actions to improve the model risk control framework. * Support development of benchmarking and analytical capabilities

Key skills

Excellent academic credentials (MSc / PhD in physics / mathematics / statistics / finance) is essential; * Strong practical and theoretical risk modelling knowledge including stochastic processes is essential;

* Understanding of CCR risk measurements (EE, PFE, EPE, ENE, WWR, xVA), legal agreements and portfolio aggregation under such is essential; * Excellent understanding of product valuation across FIC and commodities is required;

* Experience in all aspects of model development including market data, data extraction, data transformation, modular model development, user acceptance testing, model performance testing is required; * Extensive knowledge of the regulatory requirements on bank capital adequacy: CRD IV/CRR, Pillar 2 ICAAP, Concentration Risk Framework is required;

* Advanced knowledge of statistical methods, Monte Carlo simulation, time series, econometrics, regression, maximum likelihood estimation, data mining is required;

* Excellent programming skills in one of Python, Matlab, C# is required; * Excellent problem-solving skills is required; * Experience working with Murex, FIS ACR and AA is beneficial; * Experience of economic capital modelling for various risk classes is an advantage;

* Experience of credit models (PD, LGD, EAD) and credit impairment models (IFRS9) is an advantage; * A clear independent and effective communicator, persuasive in inter-personal communication; * Ability to deliver practical solutions in a demanding high-pressure environment;

* Flexibility to adapt to changing day-to-day priorities whilst simultaneously achieving longer term objectives and deadlines; * The successful candidate will be a confident pro-active self-starter, an intelligent lateral thinker and a problem solver who is good at dispute resolution.

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.


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