Head of Counterparty Credit Risk Management and Reporting (VP)

Overview

SMBC Capital Markets, Inc. (CM) is a derivatives trading company since 1988 based in New York City, with offices in London and Hong Kong. SMBC CM is an established derivatives dealer with a broad product portfolio, with specific emphasis on interest rates and foreign exchange products such as interest & FX swaps, FRAs, options, exotic products, commodity derivatives as well as exchange traded products such as treasury bonds, interest rate futures & options, currency futures, treasury futures & options, etc. 

Based on the growth in the CM business, CM is looking to expand Counterparty Credit Risk Management and Reporting function. CM is searching for a candidate with strong quantitative background to lead counterparty credit risk management/reporting and serve as a VP within CCR team. The candidate may have direct reports in future so this role will provide leadership opportunity from growth perspective. The counterparty credit risk manager will report to the head of the counterparty credit risk team. The role's primary function is to lead counterparty credit risk management and reporting function with core focus on reviewing and analyzing top exposure, stress testing results, concentration reports, risk appetite reports, and key risk indicators. The person will lead discussions to enhance CCR management and reporting framework, maintain wide varieties of stress testing scenarios covering historical and forward-looking scenarios to ensure the firm's compliance with regulatory requirements (SR 11-10). The candidate will perform ongoing counterparty surveillance, risk exposure monitoring, ad-hoc analysis on various risk analytics project, and work closely with front office on estimating exposures

The risk management department is responsible for market, model, liquidity, credit, foreign exchange, operational and legal risks associated with SMBC-CM Inc’s business and manages those risks directly or through each related departments and groups. The department is organized into four functional groups - Credit Risk Group, Market Risk and Analytics Group, Model Risk Group, and the Operational & Regulatory Risk Group. The Credit Risk Group maintains sound credit management activities liaising where necessary with other departments to review and assess credit risk, monitor credit exposure, and provide guidance on credit limits in accordance with policies and procedures.

Within Credit Risk Group, counterparty credit risk team performs risk exposure analysis/analytics and risk monitoring.

Responsibilities

• Review top 20 counterparty exposures and collateral balances
• Analyze stress testing results and enhance existing stress testing framework
• Perform XVA analysis and present in committee meetings
• Monitor and review XVA limit framework
• Monitor CCR analytics for large DoD and MoM moves in PFE
• Analyze/validate exposures (PFE) for any limit triggers and credit limit breaches
• Perform credit limit sizing and define maximum tenor limits (New deal activity and existing trade portfolio)
• Provide month-end commentary for large exposure moves in top 20 exposures, for industry/country exposures, for product exposure analysis across IR, FX and non-derivative transactions
• Provide CCR slides for senior management discussion and committees (GRMC, RMC etc.)
• Perform Wrong Way Risk analysis for counterparties and enhance existing WWR framework
• Oversees production of daily counterparty credit exposure reports for accuracy and comprehensiveness.
• Liaise with various groups within Capital Markets for the quick resolution of credit exposure-related issues
• Undertakes other credit control tasks and projects as required

Qualifications

• Minimum 7 years of experience in counterparty credit risk or market risk or risk related discipline
• Master’s or bachelor’s degree in quantitative field such as finance, mathematics, engineering, physics, computer science, or statistics
• Strong knowledge and understanding of Capital Markets, derivatives products, and derivatives valuation/PFE calculation
• Understanding of xVA calculations such as CVA, DVA, FVA, KVA, MVA, etc.
• Experience in working with internal developers, data sourcing teams and external vendors to drive development of CCR analytics, system infrastructure and overall CCR framework
• Good working experience in analyzing stress testing results and enhancing stress testing framework
• Solid organizational skills and ability to managing large scale complex projects
• Strong technical skills required - Excel/VBA, python, data visualization tools (e.g. Power BI) etc.
• Skilled at independently researching topics using all means available to discover relevant information
• Strong communication skills
• Ability to work in a team environment
• Strong collaboration skills to work with different stakeholders and builds positive relationships to drive mandates for the team and organization
• Self-starter with ability to multi-task and to maintain momentum
• Be very hands-on to use available data for analysis and very diligent to build consensus with different stakeholders to drive decision making
• Progress towards CFA and/or FRM certification preferred