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Vice President, Counterparty Risk Trading
Barclays Capital
New York, NY, United States
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Description
Barclays Bank PLC seeks a Vice President, Counterparty Risk Trading for its New York, New York location.
Duties:
Develop core analytical capabilities and tools using advanced statistical and quantitative techniques to assist in managing a large and complex credit portfolio arising from Credit Valuation Adjustment (CVA) on various derivative asset classes.
Provide quantitative support to Traders for hedging and performance of risk management duties for the firm’s institutional loan portfolio. Use knowledge of various quantitative techniques and credit products, including Credit Default Swaps (CDS), CDS Options and loans, in order to calculate CVA and associated risks including second order and correlated risks.
Conduct stress tests of trading books and mark counterparty-specific credit spreads.
Coordinate with Product Control and Market Risk groups to review CVA and loans risks, trade bookings, and profit-and-loss (PnL) reporting.
Coordinate with Quantitative Analytics and IT groups to improve risk reporting and PnL generation tools.
Work on reduction of CDS Gross notional for the Prime Brokerage Intermediation book within the Agency Derivatives Services business.
Requirements:
Bachelor’s degree or foreign equivalent in Mathematics, Statistics, Systems Engineering, or a closely related quantitative field plus five (5) years of post-baccalaureate progressive experience in a related credit risk analysis or risk management role for a global financial services firm.
Must have at least three (3) years of experience with each of the following required skills: developing and running stress frameworks; and Analyzing risk profile trends, identifying and analyzing risk factors in client portfolios, and producing risk analysis for reporting.
Must have at least one (1) year of experience with each of the following required skills: developing financial risk models for use in credit risk calculation systems;
Performing RWA analysis including risk reconciliation; and Performing counterparty exposure, VaR, and stress test analysis to prepare credit risk reports.
Must have knowledge of Fixed Income asset classes and products, including: EM, IR, FX, and Credit; Credit risk calculation systems and risk engines; new books opening, node mappings, risk completeness, risk weighted assets (RWA) estimations, and VaR signoff process.
Barclays is an EEO/AA employer.