Counterparty Credit Risk Analytics Associate
An established financial institution is seeking a motivated and detail-oriented Associate to join its Counterparty Credit Risk Analytics team. This role will focus on valuation and Potential Future Exposure (PFE) model development, supporting the implementation and enhancement of risk models, and collaborating with IT and various stakeholders to ensure effective model integration. The Associate will also be responsible for monitoring model performance, analyzing credit exposures, and contributing to ongoing risk analytics projects.
Key Responsibilities:
Support the development, implementation, and enhancement of credit risk models.
Conduct ongoing monitoring of models, including back-testing and analysis, to identify any required remediation.
Collaborate with stakeholders to ensure adherence to regulatory requirements.
Monitor Counterparty Credit Risk (CCR) analytics, focusing on significant Day-over-Day (DoD) and Month-over-Month (MoM) changes in PFE.
Analyze and validate exposures for any credit limit breaches or triggered limits.
Partner with cross-functional teams to resolve production issues promptly.
Provide ad-hoc analysis for various risk analytics initiatives.
Qualifications & Skills:
Minimum of 2+ years of experience in market risk or pricing model development.
Advanced degree (Master’s or PhD) in Mathematics, Engineering, Physics, Computer Science, Statistics, or a related field.
Knowledge of capital markets, derivative products, and market risk models.
Strong analytical and problem-solving skills.
Proficiency in statistical programming languages (e.g., Excel/VBA, Python, SQL) and data visualization tools (e.g., Power BI).
Effective communication skills for collaboration with various teams.
Ability to thrive in a fast-paced, collaborative environment.