Risk Specialist, Counterparty Credit Risk (CCR)

Overview

On Site
Depends on Experience
Accepts corp to corp applications
Contract - Independent
Contract - W2
Contract - 12 Month(s)
No Travel Required

Skills

Counterparty Credit Risk
CCR
Risk Specialist
EE/EPE/ENE
Basel III/CRR
Python
C++
R

Job Details

Job: Risk Specialist, Counterparty Credit Risk (CCR)

Location: Onsite in NYC

Duration: 6-12 Months contract

Objective: To measure and control exposure to the risk of a counterparty defaulting on its obligations in derivatives or repurchase agreements.

Required knowledge:

  • Key metrics:
    • EE/EPE/ENE: Expected Exposure, Expected Positive/Negative Exposure.
    • PFE: Potential Future Exposure (exposure distribution percentiles).
    • RCM/EAD: Exposure at Default for regulatory purposes.
    • Regulations:
    • Basel III/CRR: SA-CCR, IMM.
    • EMIR/Dodd-Frank regulations (collateral, margins).
  • Required data:
    • Netting sets, collateral, ratings, correlations.
    • Forward curves and volatilities to simulate exposure.
    • Mitigation models: Netting, Collateral, CDS hedging.
  • Tools:
    • Risk systems (Moody s, Murex, Quant libraries).
    • Programming for simulations: Python, C++, R, Matlab.
    • Algorithmics
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