Counterparty Credit Risk Quant – Vice President

Overview

In this role, you will lead CCR analytics and model development to strengthen capital and risk oversight for a mid-tier bank. You will work with cross-regional teams to design stress-testing frameworks and translate risk insights into governance through key committees. The position emphasizes deep knowledge of derivatives, fixed income, and CCP risk measures to support ICAAP/ICARA expansions. You will influence risk strategy within regulatory and internal policies while delivering robust risk management services. This is a technically demanding, impact-focused opportunity to shape counterparty risk frameworks in a sizable banking environment.

Responsibilities

• Develop and manage counterparty credit risk stress-testing scenarios aligned with market risk frameworks for daily and ad-hoc analysis
• Collaborate with the Americas Quant team to enhance and implement stress-testing scenarios for the EMEA portfolio
• Contribute to the Credit and Counterparty Credit Risk Committee, providing key risk insights and reporting
• Deliver risk management services to regional entities in line with internal service agreements
• Apply expertise in derivatives, repos, securities lending/borrowing, and fixed income products to support evolving business activities
• Support expansion of ICAAP and ICARA frameworks to Trading Book products, including capital calculation and stress-testing model development
• Ensure risk and capital models remain compliant with internal policies and regulatory requirements
• Participate in ICAAP/ICARA processes, including risk appetite setting, scenario design, stress testing, and capital assessments

Key requirements

• Strong experience in Counterparty Credit Risk analytics
• Solid understanding of CCR metrics including Potential Exposure, Wrong-Way Risk, and Stress Testing
• Extensive knowledge of Fixed Income and Derivative products (Bonds, Repos, IR/FX/Credit derivatives) and their risks
• Hands-on experience with risk models such as VaR and Expected Shortfall, with Basel capital regulations knowledge
• Advanced proficiency in Excel and programming skills in Python, VBA, R, and SQL
• Experience building and using data visualization dashboards (Power BI and Tableau)
• Proficient with Bloomberg, Power BI, Prism, GBR, and Microsoft Office applications

• Strong communication
• Collaborative mindset
• Analytical rigor
• CCR analytics
• Stress testing
• Derivatives and fixed income product knowledge

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