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Vice President - Counterparty Credit Risk Analytics at SMBC

Vice President - Counterparty Credit Risk Analytics

SMBC New York, NY (Onsite) Full-Time

SMBC Capital Markets, Inc. (CM) is a derivatives trading company since 1988 based in New York City, with offices in London and Hong Kong. SMBC CM is an established derivatives dealer with a broad product portfolio, with specific emphasis on interest rates and foreign exchange products such as interest & FX swaps, FRAs, options, exotic products, commodity derivatives as well as exchange traded products such as treasury bonds, interest rate futures & options, currency futures, treasury futures & options, etc.

Based on the growth in the CM business, CM is looking to expand Counterparty Credit Risk Analytics function by adding an additional VP to the team. CM is searching for a candidate with strong quantitative background to serve as VP within counterparty credit risk management team. The role's primary function is to build counterparty credit risk analytics function with core focus on understanding PFE modeling and analyzing various modeling approaches. The person will lead discussions on modeling new products in vendor platform, engage with risk modeling team to drive implementation of new models/enhance existing models, develop and maintain wide varieties of stress testing scenarios covering historical and forward-looking scenarios to ensure the firm's compliance with regulatory requirements (SR 11-10). The candidate will perform ongoing counterparty surveillance, risk exposure monitoring, ad-hoc analysis on various risk analytics project, and work closely with front office on estimating exposures.

The risk management department is responsible for market, model, liquidity, credit, foreign exchange, operational and legal risks associated with SMBC-CM Inc's business and manages those risks directly or through each related departments and groups. The department is organized into four functional groups - Credit Risk Group, Market Risk and Analytics Group, Model Risk Group, and the Operational & Regulatory Risk Group. The Credit Risk Group maintains sound credit management activities liaising where necessary with other departments to review and assess credit risk, monitor credit exposure and provide guidance on credit limits in accordance with policies and procedures.

Within Credit Risk Group, counterparty credit risk team performs risk exposure analysis/analytics and risk monitoring.

Number of direct reports: 0 Number of indirect reports: 0

The anticipated salary range for this role is between $109,000 and $176,000. The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire. The role may also be eligible for an annual discretionary incentive award. In addition to cash compensation, SMBC offers a competitive portfolio of benefits to its employees.


+ Engage with risk modelling team to define or enhance PFE methodology for existing or new products

+ Analyze/validate exposures (PFE) for any limit triggers and credit limit breaches

+ Monitor CCR analytics for large DoD and MoM moves in PFE

+ Perform credit limit sizing and define maximum tenor limits (New deal activity and existing trade portfolio)

+ Analyze stress testing results and enhance existing stress testing framework

+ Perform XVA analysis and present in committee meetings

+ Review top 20 counterparty exposures and collateral balances

+ Monitor and review CVA limit framework

+ Provide month-end commentary for large exposure moves in top 20 exposures, for industry/country exposures, for product exposure analysis across IR, FX and non-derivative transactions

+ Provide CCR slides for senior management discussion and committees (GRMC, RMC etc.)

+ Perform Wrong Way Risk analysis for counterparties and enhance existing WWR framework

+ Oversees production of daily counterparty credit exposure reports for accuracy and comprehensiveness.

+ Liaise with various groups within Capital Markets for the quick resolution of credit exposure-related issues

+ Undertakes other credit control tasks and projects as required


+ Minimum 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 such as finance, mathematics, engineering, physics, computer science, or statistics

+ Strong knowledge and understanding of Capital Markets, derivatives products, and derivatives valuation/PFE calculation

+ Understanding of xVA calculations such as CVA, DVA, FVA, KVA, MVA, etc.

+ Experience in working with internal developers, data sourcing teams and external vendors to drive development of CCR analytics, system infrastructure and overall CCR framework

+ Good working experience in analyzing stress testing results and enhancing stress testing framework

+ Solid organizational skills, ability to managing large scale complex projects

+ Strong technical skills required Excel/VBA, python etc.

+ Skilled at independently researching topics using all means available to discover relevant information

+ Ability to work in a team environment

+ Self-starter with ability to multi-task and to maintain momentum

+ Progress towards CFA and/or FRM certification preferred

**Job Locations** _US-NY-New York_

**Posting Date** _2 days ago_ _(3/27/2023 3:58 PM)_

**_Career Category_** _Risk Management_

**_iCIMS ID_** _2022-13460_

**_Corporate Title_** _VP_

**_Type_** _Fulltime-Regular (Exempt/Non-Exempt)_

_SMBC is an EO employer - M/F/Veteran/Disability_

Recommended Skills

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