Vice President, Counterparty Credit Risk Analytics

Sumitomo Mitsui Financial Group, Inc. • $138K — $185K *
New York, NY 10025In-Person
Finance & Insurance
5 - 7 years of experience
1 month ago
Job Overview by Ladders

Qualifications

  • PhD or Master's degree in a quantitative field (e.g. Financial Engineering, Mathematics, Statistics)
  • 7+ years of experience in counterparty credit risk or market risk modeling
  • Experience with model development in CCR, XVA, VaR or stress testing
  • Familiarity with capital markets and derivatives valuation methodologies
  • Strong understanding of regulatory requirements related to CCR
  • Proficiency in programming languages (Python, SQL) and data visualization tools (Power BI)
  • Excellent analytical and communication skills
  • Strong project management abilities in a fast-paced environment

Responsibilities

  • Lead enhancement of PFE methodologies for new and existing products
  • Drive CCR modeling requirements alongside Risk IT for implementation
  • Identify model weaknesses and develop remediation actions
  • Conduct root-cause analysis on MTM and PFE valuation differences
  • Collaborate with validation teams to address model validation findings
  • Perform model calibration and monitor ongoing performance
  • Communicate complex modeling concepts effectively to various stakeholders

Benefits

  • Hybrid work model allowing remote and in-office work
  • Collaboration with a highly motivated and detail-oriented team
  • Significant exposure to the CCR analytics framework and enterprise risk management practices
  • Opportunity to work on advanced quantitative modeling techniques
  • Involvement in discussions on CCR modeling for new products
Full Job Description
Role Description

We are seeking a highly motivated and detail-oriented Vice President to join the Counterparty Credit Risk (CCR) Analytics team. This role will lead the development, enhancement and maintenance of CCR models. This position will also be responsible for driving improvements in data quality controls, model performance monitoring and model calibration. In addition, this role will lead discussions on CCR modelling for new products and collaborate with Risk IT team to implement model changes. This role offers significant exposure to the CCR analytics framework, derivatives and SFT valuation methodologies, and broader enterprise risk management practices. This VP role requires a strong quantitative and analytical background, with the ability to translate complex risk analytics requirements into clearly defined mathematical problems and to identify optimal modeling choices among multiple approaches.

Key Responsibilities

  • Lead efforts to define and enhance PFE methodologies for both existing and new products.
  • Drive CCR modeling requirements and partner with Risk IT team for implementation.
  • Identify model weakness and limitations and develop remediation actions and compensating controls.
  • Perform root-cause analysis to identify MTM and PFE differences across different valuation methodologies.
  • Work closely with validation group for model changes and address model validation findings.
  • Perform model calibration and ongoing monitoring activities, including root-cause analysis of breaches and development of remediation actions.
  • Communicate complex modeling concepts and results to a diverse range of stakeholders.


Qualifications and Skills

  • PhD or Master's degree in Financial Engineering, Mathematics, Computer Science, Statistics, or a related quantitative field. Professional certifications (e.g. CFA, FRM) are a plus.
  • Minimum 7+ years of experience in counterparty credit risk or market risk modeling.
  • Proven model development experience with CCR, XVA, VaR or stress testing, and familiarity with advanced CCR modeling techniques.
  • Strong knowledge of capital markets, derivatives products, SFT products, and related valuation methodologies.
  • Solid understanding of CCR concepts (PFE, EPE, collateral, netting) and regulatory requirements.
  • Excellent analytical, problem-solving and communication skills.
  • Proficiency in statistical programming languages (e.g. Python, SQL), and data visualization tools (e.g. Power BI) etc.
  • Strong project management skills and ability to manage multiple priorities and work effectively in a fast-paced and collaborative environment.

SMBC's employees participate in a Hybrid workforce model that provides employees with an opportunity to work from home, as well as, from an SMBC office. SMBC requires that employees live within a reasonable commuting distance of their office location. Prospective candidates will learn more about their specific hybrid work schedule during their interview process. Hybrid work may not be permitted for certain roles, including, for example, certain FINRA-registered roles for which in-office attendance for the entire workweek is required.

About Sumitomo Mitsui Financial Group, Inc.

Sumitomo Mitsui Financial Group, Inc. Careers

There has never been a more opportune time to join the dynamic team at Sumitomo Mitsui Financial Group, Inc. (SMFG)—a leading force in the financial services industry recognized for its leadership in innovation and diversity.

Explore Job Opportunities

Sumitomo Mitsui Financial Group, Inc. offers a plethora of job opportunities that cater to a variety of skills and interests. The company is renowned for its commitment to professional growth and leadership development, making it an ideal environment for ambitious individuals looking to advance their careers.

Experience Professional Growth

At SMFG, career advancement is not just a possibility but a priority. The company supports its team members with extensive training programs, including leadership development and diversity training, ensuring that every employee has the tools and knowledge necessary to succeed.

Join a Diverse and Inclusive Team

Diversity and inclusion are at the core of the company culture at Sumitomo Mitsui Financial Group, Inc. With a global team that values unique perspectives and fosters a collaborative and inclusive environment, SMFG is a place where everyone can thrive.

Internship Programs

For those starting their career journey, SMFG offers internship programs that provide a robust foundation in the financial sector. Interns gain invaluable experience, working alongside seasoned professionals and engaging in projects that offer real-world applications of their studies.

Benefits and Culture

Sumitomo Mitsui Financial Group, Inc. is dedicated to not only attracting but also retaining top talent by offering competitive benefits that enhance both personal and professional life. The company culture promotes work-life balance, employee well-being, and continuous learning.

Innovative Work Environment

Innovation is a key driver of SMFG’s success. Employees are encouraged to bring forward-thinking ideas to the table and are provided with the resources to transform these ideas into actionable solutions that drive the financial industry forward.

Networking and Career Development

Networking opportunities within SMFG are abundant. Employees are encouraged to connect with colleagues and industry leaders through various platforms and events, enhancing their professional network and opening doors to myriad career opportunities.

Apply for a Position

Sumitomo Mitsui Financial Group, Inc. is actively hiring and looking for talented individuals who are passionate, curious, and driven. Explore open positions that match your skills and interests on the SMFG careers page.

Stay Connected with SMFG Careers

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Prepare for Your Interview

Aspiring to join SMFG? Prepare your resume to reflect your best self and gear up for the interview process where you can showcase your skills and passion for finance and innovation.

Career Opportunities Await

At Sumitomo Mitsui Financial Group, Inc., the potential for professional development and personal growth is limitless. Discover the exciting and rewarding career opportunities that await at SMFG, where every position contributes to the company’s global success and leadership in the financial industry.
Learn more about Sumitomo Mitsui Financial Group, Inc.
Industry
Finance & Insurance
* Ladders Estimates

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