SMBC Capital Markets, Inc.
Counterparty Credit Risk Associate (ref.# 6594)
SMBC Capital Markets, Inc., New York, New York, us, 10261
Counterparty Credit Risk Associate (ref.# 6594)
Employer:
SMBC Capital Markets, Inc.
Job Title:
Counterparty Credit Risk Associate (ref.# 6594)
Job Location: 277 Park Avenue, New York, NY 10172
Responsibilities
Review top counterparty exposures and collateral balances.
Assist the front office sales and trading team on estimating counterparty credit exposures on new deal activity.
Monitor and review Credit Valuation Adjustment limit framework and risk sensitivity profile.
Monitor Counterparty Credit Risk analytics for large Day Over Day and Month over Month moves in Potential For Exposure/Expected Positive Exposure, Mark to Market, and Credit Exposure.
Participate in special projects focused on enhancing the Counterparty Credit Risk (CCR) System.
Perform User Acceptance Test and regression testing on all CCR system enhancements.
Provide month-end commentary for large moves in top exposures, for industry/country exposures, for product exposure analysis across Interest Rate, Foreign Exchange and Repo transactions.
Provide CCR slides for senior management discussion and committees.
Perform Wrong Way Risk analysis for counterparties and enhance existing framework.
Oversee production of daily counterparty credit exposure reports for accuracy and comprehensiveness.
Analyze interrelationships across risk sensitivities, market to market values, and CCR exposures.
Address data integrity problems that impact the accuracy of the risk analytics or CCR profile.
Hybrid remote work is permitted.
Qualifications
Bachelor’s degree in financial engineering, or a related field plus 4 years of experience, or a master’s degree in financial engineering, or a related field plus 2 years of experience.
Experience must include the following: pricing and valuation of Interest Rate Swaps (IRS); Delta/Gamma, Value At Risk, and CCR Metrics; working with internal developers, data sourcing teams and external vendors to drive development of CCR analytics, system infrastructure and overall CCR framework.
Benefits Hybrid remote work is permitted.
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SMBC Capital Markets, Inc.
Job Title:
Counterparty Credit Risk Associate (ref.# 6594)
Job Location: 277 Park Avenue, New York, NY 10172
Responsibilities
Review top counterparty exposures and collateral balances.
Assist the front office sales and trading team on estimating counterparty credit exposures on new deal activity.
Monitor and review Credit Valuation Adjustment limit framework and risk sensitivity profile.
Monitor Counterparty Credit Risk analytics for large Day Over Day and Month over Month moves in Potential For Exposure/Expected Positive Exposure, Mark to Market, and Credit Exposure.
Participate in special projects focused on enhancing the Counterparty Credit Risk (CCR) System.
Perform User Acceptance Test and regression testing on all CCR system enhancements.
Provide month-end commentary for large moves in top exposures, for industry/country exposures, for product exposure analysis across Interest Rate, Foreign Exchange and Repo transactions.
Provide CCR slides for senior management discussion and committees.
Perform Wrong Way Risk analysis for counterparties and enhance existing framework.
Oversee production of daily counterparty credit exposure reports for accuracy and comprehensiveness.
Analyze interrelationships across risk sensitivities, market to market values, and CCR exposures.
Address data integrity problems that impact the accuracy of the risk analytics or CCR profile.
Hybrid remote work is permitted.
Qualifications
Bachelor’s degree in financial engineering, or a related field plus 4 years of experience, or a master’s degree in financial engineering, or a related field plus 2 years of experience.
Experience must include the following: pricing and valuation of Interest Rate Swaps (IRS); Delta/Gamma, Value At Risk, and CCR Metrics; working with internal developers, data sourcing teams and external vendors to drive development of CCR analytics, system infrastructure and overall CCR framework.
Benefits Hybrid remote work is permitted.
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