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
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