Role Description

Measure gross and net exposures across differing types of instruments and counterparties. Model expected counterparty credit loss on the current, expected and future exposures. Establish threshold for counterparty risk across a number of elements, including client, industry, location, etc., depending on risk appetite. Monitor threshold and suggest remedial actions. Establish procedures for accepting counterparties and establishing transaction terms, limits and net exposure.

Role Objectives: Delivery

Measure gross and net exposures across differing types of instruments (swaps, options and other derivatives) and counterparties. Model expected counterparty credit loss on the current, expected and future exposures. Take into account standard elements of risk (market, liquidity and credit) including concentrations, company / industry / sovereign default probabilities, yield, convexity, duration, FX, etc. Establish threshold for counterparty risk across a number of elements including client, industry, location, etc., depending on risk appetite for potential replacement costs. Monitor threshold and suggest remedial actions. Update model for changes in transaction levels, market conditions and risk appetite. Suggest remedial actions including hedging positions. Calculate counterparty exposures and potential losses for regulatory reporting including capital adequacy. Establish procedures for accepting a counterparty and establishing transaction terms, limits and net exposure. Ensure individual counterparty transactions and net positions conform to exposure limits, collateral requirement and transaction terms.

Role Objectives: Interpersonal

Facilitate partnerships with market participants to better understand the depth / breadth and quality of existing and potential counterparties. Establish relationships with rating agencies to help improve modeling and understand emerging trends. To better understand the risks in their businesses, the instruments they handle, and their counterparty relationships, facilitate strong collaboration with client-facing units. Improve workflows and data gathering / sharing through partnerships with units such as finance, compliance, legal and IT. Network within the industry through meetings, events and involvement with trade organizations to better understand emerging risk trends. Establish relationships with auditors and regulators to better understand their concerns, reduce potential compliance issues and improve modeling. Support long- and short-term planning, new product development, ALM and risk management meetings.

Role Objectives: Expertise

Display an advanced understanding of credit markets and risk policies to ensure that all counterparty arrangements are viable and properly collateralized from a credit risk management perspective. Demonstrate a working knowledge of counterparty credit risk and current practices in the market in particular. Stay abreast of trends in order to match market opening with the company's risk appetite in order to maximize risk / reward. Utilize a solid understanding of information technology and project management, in order to best partner with colleagues in the ongoing tracking of counterparty risks for new and existing clients / products and to create meaningful modeling and analysis. Apply advanced modeling and analytical skills to create meaningful measurement and reporting on key risk exposures. Demonstrate an understanding of applicable accounting rules, contract law (ISDA agreements) and regulatory guidance to establish limits, netting arrangements and collateral requirements. Communicate analytical data effectively.

Qualifications and Skills

Recommended years of experience: 7

Additional Requirements