Counterparty Credit Risk Methodology Specialist

Permanent contract|New York|Risks

Counterparty Credit Risk Methodology Specialist

New York, United States Permanent contract Risks

Responsibilities

Base Salary Range:$81,000 - $150,000 
Base salary range does not include overtime pay, bonus and/or other benefits, where applicable. Actual base salary offer will vary based on skills and experience.

Key Purpose of the Role:

  • The candidate will work with counterparty credit risk analyst in charge of monitoring and pricing of transactions, mainly on the complex (exotic) products.
  • The candidate will participate in the daily risk monitoring of several desks and help users understand the risk associated with counterparties
  • The candidate will participate to improve methodologies linked to stress testing
  • The candidate will also support risk managers on ad-hoc requests

Detailed Responsibilities

  • Analyzing, from a quantitative and qualitative standpoint, the counterparty risk of exotic trades and structured transactions proposed by business lines in the Americas region across all asset classes (Interest Rate, Credit, FX, Equity, and Commodity derivatives).
  • Computing various credit risk metrics (EE, PFE, EEPE, CVA, Stress Testing)
  • Participating in quantitative modeling projects
  • Maintaining and improving the existing risk monitoring tools/models and update documentations
  • Communicating with Front Offices, and cooperating with internal audit and regulators on the methodologies, projects and tools developed by the department
  • Carry out the appropriate governance associated with models that are owned by the team
  • Interacting with all the departments that are involved in the credit process (Risk officers, Front/Back officers, Legal, Collateral Management…)

Profile required

Technical Skills:         

  • Financial Mathematics & Derivatives Pricing Model

  • Proven technical expertise in risk modelling and exotic derivative pricing, gained through effective pricing tools development with either VBA, Excel, Python, C/C++, Matlab, SAS

  • Strong analytical and mathematical skills

  • Proficient Python, SQL, other scripting languages a plus

  • Strong Knowledge of Excel, Power Point, and other MS office applications

Competencies:

  • Strong quantitative orientation and analytical skills

  • Highly motivated and fast learning individual

  • Knowledge of market instruments, risk analysis and methodologies / valuation models of financial products

  • Curiosity, detail-oriented, autonomous, self-motivation, pro-active

  • High sense of teamwork: inspire and work well with others; Integrity and responsibility

  • Problem solving skills to get things done

  • Ability to work in a challenging fast paced environment

Experience Needed:

  • 3-5 years of experience with strong understanding in financial products and main counterparty risk metrics

  • Understanding of the various counterparty credit risk frameworks in place to mitigate risk

  • Strong knowledge of risk regulatory requirements and concepts

  • Previous experience in counterparty credit risk monitoring a plus

Educational Requirements:

          Desired / Plus: MBA, MS or equivalent

Why join us

The Global Risk Methodologies risk team (GRM) for the AMER region is part of the US Risk division and part of the global risk on market activities team (RISQ/RMA). The GRM team is responsible to design regulatory and economic models & methodologies in alignment with regulatory requirements and principles.

RISQ/AME/RMA/GRM:

The Global Risk Methodologies team acts as a designer and owner of the market and counterparty risk models. The team is an expertise center for the market and counterparty risk transversal metrics, both from a regulatory and an economic standpoint. The team is:

  1. Model owner for market and counterparty credit risk models in the Americas,
  2. Expert on market and counterparty credit risk transversal metrics, both from a regulatory and an economic standpoint:
  3. Defining and monitoring internal models for calculating regulatory capital requirements for market and counterparty risks in compliance with regulation,
  4. Performing periodical quality checks of the models in compliance with the regulatory framework,
  5. Defining, in coordination with the FO, of the counterparty risk modelling used for the daily risk management,
  6. Performing Counterparty risk quantification for non-automated products,
  7. Defining the stress tests methodologies for global market and counterparty credit risks.

Business insight

OUR CULTURE: 
At Societe Generale, we live by our 4 core values of commitment, responsibility, team spirit and innovation. We are engaged and demonstrate consideration for others. We act ethically and with courage. We focus our talent and energy on collective success. We experiment and propose new ideas. This way, we maximize our ability to serve client needs and anticipate market changes. Societe Generale is committed to strengthening bonds with colleagues, communities, and the world in which we live, because relationships are at the heart of how we operate.

D&I: 
Our Diversity & Inclusion Mission: Recruit, develop, advance, and retain a diverse workforce that is united in our efforts to enhance our competitive position and deliver innovative solutions to our clients.

Our Diversity & Inclusion Vision: 
•     Engaged workforce that is demographically diverse in a way that reflects the communities in which we operate
•     Inclusive culture and workplace that recognizes employees' unique needs and utilizes their diverse talents 
•     Engage our community and marketplace, and position the organization to meet the needs of all its clients

For more information about our D&I initiatives, please visit this link (https://americas.societegenerale.com/en/societe-generale-about/diversity-and-inclusion/)

HYBRID WORK ENVIRONMENT:
Societe Generale offers a hybrid work arrangement that offers employees the flexibility to work remotely, as well as on-site, in order to promote interaction and collaboration with colleagues while adhering to all SG standard protocols.  Hybrid work arrangements vary based on business area.  The applicable Business lines will determine and communicate the work arrangements that best meet their business needs.

We are an equal opportunities employer and we are proud to make diversity a strength for our company. Societe Generale is committed to recognizing and promoting all talents, regardless of their beliefs, age, disability, parental status, ethnic origin, nationality, gender identity, sexual orientation, membership of a political, religious, trade union or minority organisation, or any other characteristic that could be subject to discrimination.

Reference: 22000VK8
Entity: SG CIB
Starting date: 2023/01/04
Publication date: 2022/11/08
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