Counterparty Credit Infrastructure and Capital (CCIC) is a global private side group with a presence in Plano, New York, London, Frankfurt and Hong Kong, and is part of CIB Credit Risk. CCIC has a wide range of responsibilities across derivatives and other traded products, including credit exposure infrastructure, tools and methodology, analysis of exposure for complex transactions, stress testing, wrong way risk, advanced regulatory capital models and counterparty risk data governance.
The team partners widely and in particular with Credit Officers, Capital & Liquidity Management, Quantitative Research, Model Review & Governance, Markets sales and trading, Credit Portfolio Group, Market Risk Management and Finance, as well as various technology teams.
Counterparty Credit Infrastructure & Capital is seeking an Associate to help with all aspects of counterparty credit risk with a focus on regulatory capital implementation and analysis. The Firmwide Standardized Capital team of CCIC is focused on developing tools to explain changes in capital exposure for derivatives (BAU and stress testing) and leading the development of the new standardized regulatory exposure calculator for derivatives - SA-CCR (Standardized Approach for Counterparty Credit Risk).
As a member of the Firmwide Standardized Capital team within CCIC, the candidates will be responsible for the following:
* Updating business requirements and gap analyses as it relates SA-CCR and the CCIC Analytics Framework, related methodology enhancements, and participating in their timely implementation
* Conduct ongoing analyses of SA-CCR exposure calculations and period on period exposure changes to validate the accuracy of the results and identify gaps in data or calculation logic versus regulatory requirements
* Perform analyses to explain changes (period to period and stress to base) in advanced approach (Internal Models Method - GAUSS) capital exposure results. Lead the development of analytic tools to support EAD explain and sensitivity analysis
* Supporting wider CCIC projects and stress testing for both internal usage and regulatory requests, as required
* Strong quantitative skill-set and good breadth of experience
* Good partnership and communication skills, including credibility & ability to influence stakeholders
* Strong sense of accountability and ownership of responsibilities, must be diligent, self-motivated.
* Knowledge of models for CCR exposure measurement and/or regulatory capital
* Ability to break down a complex problem and synthesize solution from wide range of sources to develop coherent and actionable business requirements
* Knowledge of US regulatory requirements related to CCR internal models (Basel 3 IMM/ACVA), CEM or SA-CCR is a plus, as well as experience with credit risk / regulatory capital systems infrastructure and data sources (J.P. Morgan preferred) or demonstrated ability to quickly master systems of equivalent scale and complexity
* Programming skills / knowledge (Python, VBA, SQL) is a plus
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