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Counterparty Risk Methodologies / Model Validation Quant

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Madrid, Spain
Finance/Accounting, English
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Job Description:

-DEPARTMENT OVERVIEW

In many respects, banking is the business of managing risks.

At (COMPANY NAME), our well-developed risk management culture is based on a long-term perspective, a committed management, and a strong and independent risk organization led by RISK.

Created at the same time as (COMPANY NAME), RISK is today a global function present in five continents and at the forefront of risk management through best-in-class expertise.

RISK is a global, integrated, and independent function.

RISK's main missions:

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Advise the Bank Management on the definition of risk policy;
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Contribute as a "second pair of eyes" to ensure that risks taken by the Bank are aligned with its policies;
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Report and alert Bank Management on the status of risks to which the Bank is exposed.

RISK is a deconcentrated organization covering all the Business Lines and encompassing the whole chain of risk-taking.

A risk framework is adapted to each Business Line covering at least the following major risk types:

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Credit Risk
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Market & Counterparty Risk
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Liquidity Risk
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Insurance Risk
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Operational Risk
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Model Risk

Encompassing the whole chain of risk-taking and monitoring:

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Risk policy
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Risk analytics and modelling
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Risk anticipation
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Portfolio analysis: risk concentrations and stress-testing
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Reporting and monitoring
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Risk independent review & control
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Counterparty & transaction analysis

-II. JOB DESCRIPTION

Counterparty risk methodologies are developed for both regulatory and internal risk management purposes.

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The European Regulation called CRR allows computing counterparty risk own funds requirements by the Internal Model Method (IMM) and CVA risk own funds requirements by the Advanced method (A-CVA). As part of the IMM and A-CVA, the (COMPANY NAME) Group has developed Effective Expected Positive Exposure (EEPE), Value-at-Risk on CVA (VaR on CVA) and Stressed Value-at-Risk on CVA (Stressed VaR on CVA) metrics for counterparty risk and CVA risk own funds requirements computations.
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Besides the prudential capital requirement measures, the Bank has adapted the abovementioned regulatory measures to better reflect the view of the Bank with regards to effective management of counterparty risk. Accordingly, the (COMPANY NAME) Group has developed various Potential Future Exposure (PFE) measures for limit setting and position monitoring.
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The developed counterparty exposure models with different configurations are used also Accounting CVA and other types of XVA computations.
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The US Swap Margin Rule allows computing margin requirements for non-centrally cleared derivatives using an internal model. The (COMPANY NAME) Group has developed therefore SIMM jointly with other banks and implemented this model internally for bilateral initial margining.
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Finally, the (COMPANY NAME) Group has implemented other regulatory measures like MDDR for measuring settlement risk and also various counterparty risk metrics like Counterparty Liquidity Ranking (CoLoR) for internal counterparty risk management.

Sound model risk management practices require that these counterparty risk metrics, and any new developments, are subject to initial and periodic independent reviews. Depending of the regulation of the various jurisdictions, these models are subject to various levels and frequency of model reassessment, and also model changes are subject to independent reviews.

The position is about performing counterparty risk methodology reviews.

Depending on the level of the position, the candidate is expected to be a specialist, expert who is able to perform the required qualitative and quantitative reviews on his/her own, as well as, who is potentially able to guide and manage team members assigned to the review projects.

The candidate shall have sufficient technical expertise to fulfil these requirements and shall have an audit mind-set, furthermore, skills to review methodologies that are regulation-driven. The candidate for a senior position is expected to have experience in regulatory affairs.

III. PROFESSIONAL QUALIFICATIONS / CANDIDATE PROFILE

Must have hard skills:

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Strong quantitative background, owning an MSc or PhD degree in a quantitative subject, preferably degree in financial mathematics.
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The position is open for various levels of experience. The seniority of the position depends on the level of experience in developing or validating financial models related to Capital Markets either on the Front Office side or on the Risk side.
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In-depth knowledge of Capital Markets: how the markets operate, what the products are, what the main risk drivers are, how the financial instruments and derivatives are revalued, and what the shortcomings of the industry standards are.
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Familiarity with counterparty risk and CVA modelling techniques and regulatory requirements.
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Strong understanding of stochastic processes and derivatives pricing techniques, familiarity with several underlying asset price models and with various numerical techniques.

Must have soft skills:

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Ability to challenge the proposed methodologies and to provide alternative solutions.
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Validation skills to valorise new ideas, both supportive and critical, and to examine problems from several different points of view.
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Specific audit mind-set and skills to review methodologies that are regulation-driven.
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Result orientation, managing the time efficiently focusing on the mission and providing the highest quality work and precision under the constraint of given resources.
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Eagerness to take ownership of projects and be autonomous in finding out the next steps.
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Capacity to master the methodologies in the perimeter in order to know when, where and how to interact.
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Good communication skills in English to convey clearly his/her ideas in front of various audiences, and concise writing skills.
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Nice to have hard and soft skills:
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Experience with model validation techniques and processes.
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Strong curiosity of the field, proactively seeking opportunity of learning and progress, and staying up-to-date with the newest developments in the field.
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Advanced object oriented programming skills in C++ / C#.
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Networking skills to get access to the information, proactively building relationships with traders, developers and risk analysts.

-IV. WHAT WE OFFER

We offer the opportunity to work in a dynamic environment where the candidate can learn about and work with cutting edge pricing and risk methodologies. The position allows having a global view on the corporate and institutional banking activity of one of the market leading top tier investment banks. There will always be opportunities to stand out and build an enviable reputation within a business of this size and the candidate will enjoy the benefits of working in an extremely focused and highly professional team with a reputation for delivering excellence.

Primary Location: ES-MD-MadridJob Type: Standard / PermanentJob: RISKSEducation Level: Not indicatedExperience Level: Not IndicatedSchedule: Full-time Behavioural competency: Ability to collaborate / Teamwork, Attention to detail / rigor, Organizational skills, Ability to synthetize / simplify, Communication skills - oral & written, Critical thinking, Ability to deliver / Results drivenTransversal competency: Analytical Ability, Ability to manage a project, Ability to set up relevant performance indicators, Ability to develop and leverage networks, Ability to anticipate business / strategic evolution

Source: Company website
Posted on: 26 Jun 2019
Languages: English
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