Associate, Counterparty Credit Risk Model Specialist

Company: Madison-Davis, LLC
Location: New York
Posted on: January 27, 2023

Job Description:

Office Status: Hybrid (2 to 3 days in office per week)
Responsibilities:

• 
  
• Model owner for market and counterparty credit risk models in the Americas
  
• Expert on market and counterparty credit risk transversal metrics, both from a regulatory and an economic standpoint
  
• Defining and monitoring internal models for calculating regulatory capital requirements for market and counterparty risks in compliance with regulation
  
• Performing periodical quality checks of the models in compliance with the regulatory framework
  
• Defining, in coordination with the FO, of the counterparty risk modelling used for the daily risk management
  
• Performing Counterparty risk quantification for non-automated products
  
• Defining the stress tests methodologies for global market and counterparty credit risks.
  
• Participate and lead model/measurement design related improvements for key metrics of the bank
  
• Organize, manage and deliver on working group and committee-based materials for senior management
  
• Ongoing monitoring of key measurement to identify design or implementation improvements
  
• Work with various end users to help improve their understanding of risk management metrics
  
• Close partnership with the model risk and enterprise risk management teams
  
• Ensure regulatory measurements comply to regulatory requirements and best practice
  

Keywords: Madison-Davis, LLC, New York , Associate, Counterparty Credit Risk Model Specialist, Other , New York, New York