Global investment bank seeks an Associate or AVP level Counterparty Risk manager as part of its expanding CCR Management Information team.
Management Information Counterparty Credit Risk (MI CCR) team is responsible to provide an
independent view and analysis of key counterparty risks. The team is based in London
and maintains a global scope. It interacts closely with other MI teams in London, Paris, Brussels and
New York, as well as several RISK MFI teams under Analysis & Decision and Platform stream. The
team has also regular interaction with RISK Corporate, FIC ICAT and Global Markets CCR teams.
The main mission of the MI CCR team is to provide General Management, CIB and RISK Function
with a global independent view and analysis of key risks related to counterparty credit risk, supporting
optimal decision-making.
The team is responsible for ensuring an exhaustive and transparent coverage in terms of perimeter
and risk types. The team also provides (and concludes upon) external risk disclosures and contributes
towards the design, incubation, implementation and 'run mode' of the risk analysis governance
framework.
Job Purpose
Purpose: working on the analysis and reporting of counterparty credit risk (CCR) in line with the
team's mission statement.
Scope: Global responsibility in line with MI CCR's team mandate (i.e. across all activities and
regions).
This role may be carried out within a range of experience depending on the development of
knowledge and skills in the role and the role-holder's ability to work with increased autonomy.
The Responsibilities
Participate in the production and review of the management information framework, while
working in coordination with other members of RISK and Metiers. The candidate will be
responsible to analyse and explain metrics such as Current Exposure (CE), Potential Future
Exposure (PFE), Credit Valuation Adjustments (CVA), stress tests, initial margin, liquidation
cost.
Coordinate and prepare the material discussed during the main risk committees within the MI
CCR scope (e.g. FMRC, Hedge Funds and Higher Risk Funds Main Positions) as well as
Supervisory reports (e.g. NFA).
Use best practices and knowledge to improve processes and reporting practices on CCR,
taking into account external or internal recommendations (e.g. check and improve scopecompleteness and accuracy of the information presented).
Participate to current and future initiatives on CCR and deliver small-scale projects or well-
defined tasks on major projects within the RISK function (e.g Global CCR Main Position).
Coordinate and respond to ad-hoc requests for CCR analysis, whether external (e.g. from
Regulators) or internal (e.g. request for focus paper on a specific topic).
Work under general guidance from more senior Risk professionals, referring more unusual
and complex matters upwards for support when required, and acts as a resource for
colleagues with less experience.
Support the wider Management Information team through contributions to various global risk
analysis topics.
Skills & Experience Required
Essential
BSc. with a numerical focus (e.g. scientific, mathematical or financial discipline).
Solid understanding of the main financial products and their risk drivers.
Proven knowledge and experience linked to counterparty risk measurement elements - CE, PFE,
JtD, xVA, VaR, stress testing, legal documentation (e.g. MA, CSA), counterparty credit quality
(PD, recovery rate) etc.
Some knowledge and experience in topics such as statistics/econometrics, derivatives pricing
fundamentals / greeks.
Self-motivated and able to organize tasks in project mode as well as be able to ensure their timely
progress or escalate when required.
General all round IT competence.
Excellent written and oral English skills in order to articulate technical issues and enable effective
communication with individuals across the different RISK teams and the Business.
Ability to manage / facilitate a meeting with senior stakeholders.
Preferred
Knowledge of capital markets regulation is an advantage.
Python programming experience is an advantage.
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.
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