Counterparty Credit Risk Model Specialist

Permanent contract|New York|Risks

Counterparty Credit Risk Model Specialist

New York, United States Permanent contract Risks


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.

For the open position, the role’s objective is to deliver model design improvements and ongoing monitoring/governance on counterparty credit risk regulatory and economic measurements such as Potential Future Exposure and stress testing. Tasks include but not limited to:

-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

Profile required

Experience Needed:

  • 5+ years with strong experience as counterparty risk metric owner or in a similar role
  • Strong understanding in financial products and main counterparty risk metrics
  • Understanding of the various counterparty credit risk frameworks in place to mitigant risk
  • Strong knowledge of risk regulatory requirements and concepts
  • Previous experience in counterparty credit risk monitoring a plus


  • 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 

Technical Skills:        

  • Strong analytical and mathematical skills
  • Proficient Python, SQL, other scripting languages a plus
  • Strong Knowledge of Excel, Power Point, and other MS office applications

Business insight

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.

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: 22000BYI
Entity: SG CIB
Starting date: 2022/11/07
Publication date: 2022/09/13