Risk Analytics Sr. Analyst - Counterparty Risk

About the position

The Risk Analytics Sr. Analyst is accountable for leading the specialized credit risk analysis, risk rating systems, and introducing new data science techniques and methodologies to support risk management. The primary purpose of this job is development and implementation of financial risk management models, including financial valuation and Counterparty Credit Risk (CCR) exposure models using analytical methods, Monte Carlo simulation, and statistical techniques. This includes design, Python code development, testing and implementation of market risk stress-testing focused models, and performing any ad-hoc analysis to support overall portfolio and LOB analytics. This role requires work coordination with Corporate & Investment Banking, Finance, Accounting, Risk Management, Model Development, Data Management, and Audit.

Responsibilities

• Develop methodologies and tools to support Market and Liquidity Risk in measuring pre-trade counterparty risk exposure and day-to-day stress testing of bank's trading portfolio (EQ, FICC, Muni, Sec Prod, Rates).
• Provide analytics for Capital Stress Test, CECL business decisions, evaluate, and support the reasonability of estimation results, and assess and recommend key management assumptions for use in the ACL estimation process.
• Documentation, monitoring, and validation of the models.
• Provide data science and modeling expertise to the projects in designing credit risk strategies and solutions, with strategic implications.
• Partner with risk and lines of business teams to develop analytic solutions, ad-hoc analysis, and modeling to drive new initiatives, improve business processes and deliver value using data-driven decisions.
• Cross-functional relationships - coordinate with the accounting policy, controller, and finance functions.
• Communication with model validation, internal auditors, external auditors, and external regulators.

Requirements

• Master's Degree or higher in Math, Statistics, Finance, Computer Science, or another quantitative field.
• Minimum of 5 years of experience in quantitative analysis/modeling, credit policy, or credit risk management in the financial services industry.
• Proven record of strong work ethics with a commitment to transparency, accountability, and collaborative work.
• Understanding of risk modeling and data management, database concepts, and data structures.
• Understanding of credit risk management discipline, principles, and regulatory requirements - GAAP, CECL accounting standard, CCAR.
• Proficiency with Python and R and the associated analytics packages. Exposure to SQL, Microsoft Azure, Tableau, and Shiny is desirable.
• Experience in direct communication with model validation and internal auditors.
• Proficiency in MS Office, especially MS Excel, PowerPoint.
• Ability to collaborate effectively and follow up to ensure achievement of deadlines, outcomes, and results.
• Ability to communicate appropriately and effectively with all organization members, effectively present information within and across the team both verbally and in writing.
• Proven analytical, and problem-solving abilities and ability to handle multiple projects.
• Self-motivated and strong interpersonal skills to actively lead and implement ideas in a cross-functional team environment.

Benefits

• Health insurance coverage
• Wellness program
• Fertility and family building aids
• Life and disability insurance
• Retirement savings plans with a generous 401K match
• Paid leave programs
• Paid holidays
• Paid time off (PTO)