The Market and Counterparty Risk team is looking to have a consultant join the group. You will be engaged on various projects to assist clients in strengthening their counterparty credit exposures. Since Basel III is becoming a bigger focus, the team needs a subject matter expert who is well-versed in the regulatory requirements and has had hands-on experience.
We are looking for candidates who are currently in a counterparty credit risk team in a modeling or management function, supporting a CVA desk, or already in a more regulatory facing counterparty risk focus. This role will allow you to gain a "bigger picture" exposure rather than focusing solely on a risk management type role. By working with different clients, you will be able to get various perspectives on the challenges induced by Basel III. Depending on your experience, you will either be a senior member of the teams or be in a team/project lead role.
Some of the responsibilities or types of projects may include:
- Building simulations, valuations, and backtesting models for counterparty credit risk
- Supporting existing simulation and pricing models
- Developing frameworks for calculations of parameters for RWA computations as required by Basel III
- Developing, explaining, and monitoring performance and enhancing all counterparty credit exposure models
- Min MS/PhD in quantitative discipline (math, statistics, engineering,, computer science, etc)
- Min 3-7 years of counterparty risk/ CVA experience
- Solid understanding of counterparty credit risk, regulatory requirements, Basel III, modeling and analytics
- Previous team leadership or management experience preferred
- Computer skills: VBA, Matlab, R, SAS, SQL, C++, or Java
- Excellent communication skills (verbal and written)
Keywords: counterparty credit risk, CVA, consultant, risk analyst, risk modeling, Basel III, regulatory risk, market risk, manager, New York
Although preferable, we do not require a CV, please feel free to get in touch regarding this role to talk to a member of the team to discuss this role. For more current openings with our clients, please see www.g-q-r.com/vacancies
We Welcome speculative and tentative applications roles and others of a similar nature that we may have available on our books.
Search Consultant: James Friend -please mention job title
Contact Telephone Number: +310-807-5030
Linked In: http://www.linkedin.com/e/vgh/1615777