Counterparty Credit Risk Quant - Vice President

Who we are

United by a sense of purpose towards our customers – to be a trusted partner for the long-term – and our universal banking platform in EMEA, SMBC Group has an international growth agenda and award-winning products, meaning we provide exciting opportunities to work on a diverse range of projects and initiatives. We deliver a full suite of corporate finance products and solutions to our customers as well as investment banking and advisory services, and a range of innovative solutions in global capital markets. Read on to find out how you could enhance your skills and gain valuable experience, by joining us to support our clients transition to a sustainable future.

Role Summary

Dual hat role working with Counterparty Credit Risk team and Modelling team to primarily work on Counterparty Credit Risk Stress testing and Regulatory stress framework / models.

Purpose of the Role

• Establish stress testing framework which is up to industry and regulatory standards for EMEA portfolio which is consistent across different entities and risk stripes.
• Support on regulatory and internal capital assessment activities such as ICARA, ICAAP and other initiatives.
• Participate in the monthly Credit and Counterparty Credit Risk Committee and provide input on the key developments on Stress Testing Framework.
• Ensure all Frameworks, Policies and Procedures remain pertinent, well documented with approval governance, up to date, and adhered to.
• To liaise with other group entities to ensure a group wide consistent approach.
• Ensure EMEA region counterparty risk management practices are in line with BCBS Guidelines for Counterparty Credit Risk Management.
• Develop, own, and run internal and vendor models within the department, support other team members in regular upkeep of other models.

Business Area

Position Description

Job Title: Vice President, Counterparty Credit Risk Quant

Department: Risk Management, Traded Credit Risk/Modelling (Dual Reporting line)

The Risk Management Department (RMD) is responsible for managing all aspects of the risk management function withinSMBC BI Ltd and SMBC Nikko CM Ltd. As part of the 2nd line of defence, RMD works in partnership with the Credit and Compliance Department, Finance and Control and Internal Audit to ensure that the organisation remains fully compliant with all regulatory policies and procedures.

Key Stakeholders:

• MD Credit Portfolio and Policy RMD, CM Ltd CRO; SMBC BI CRO, RMD Credit Portfolio, Policy and Modelling Team; & senior risk team members; CFO; Treasurer; CEO; Planning Dept.; Desk Heads (DPG & SPG); CM Inc. and Nikko Tokyo; Front office members as appropriate.

Key Facts:

• Derivatives portfolio ca. $10bn MPE. Fixed Income portfolio ca. $0.5bn market value
• Securities and Securities Financing Transactions portfolio of c.$30bn

Accountabilities & Responsibilities

• Create stress test scenarios for counterparty credit risk in line with market risk scenarios for daily and ad-hoc stress testing.
• Work with Americas Division Quant team to implement/enhance counterparty stress scenarios for EMEA portfolio.
• Provide input into the monthly Credit and Counterparty Credit Risk Committee and be principally responsible for conveying all relevant information to members to enable the Committees to fulfil its purpose.
• Provision of risk services to regional entities in accordance with the relevant intragroup SLA/intragroup arrangements, where applicable
• Extensive product knowledge, particularly across derivatives but also in FI space (Repo, Securities Borrow/Loan). DPG business model to change; scope to be determined but at a minimum expansion of inflation desk and deal contingent hedges.
• Support in expansion of ICAAP and ICARA framework coverage to Trading Book products, developing and enhancing Capital calculation and Stress Testing models. Ensure models remain compliant with Internal policies and Regulatory requirements.
• Participate on various ICAAP/ICARA workflows including risk tolerance set up, scenario development, stress testing calculation, and/or as instructed by management.

Requirements:

• Experience in counterparty credit risk analytics within financial services.
• Good understanding of different counterparty credit risk measures including Potential Exposure, Wrong Way Risk, Stress Testing etc.
• Excellent knowledge of Fixed Income and Derivative product pricing and the risks that arise from them (Bonds, Repos, Derivatives (IR, FX, Credit)).
• Hands-on experience with Risk models such as VaR, ES and strong familiarity with Basel capital rules across Market Risk and Counterparty Credit Risk (SFTs and Derivatives).
• Advanced Excel skills for data analysis and good knowledge of programming languages (Python, VBA, R, SQL etc.)
• Experience with Data visualisation dashboards like Power BI, Tableau etc.
• The following systems are used to perform the duties outlined: Excel, Word, Power Point, Prism, GBR, Power BI Dashboards and Bloomberg

Competencies

What we offer

For all the expertise and experience you bring to help us make a difference, it’s only sustainable if we support you to build your career and be your best self so we offer competitive company benefits, centred around promoting positive well-bring and work-life balance. We also believe in fostering a diverse and inclusive work environment, where all team members perspectives and contributions are valued. Initiatives in place which promote a diverse and inclusive culture and healthy work life balance include hybrid working, Sport & Social Clubs and Diversity and Inclusion networks.

As an employee of SMBC you have access to a host of both useful and exciting benefit offerings. See below some of the benefits on offer to you:

• Hybrid and flexible working 
• Competitive paid leave days
• Benefits to support your physical wellbeing, including private medical insurance and life and invalidity insurance 
• Various policies to support your mental wellbeing, including a robust behavioural health network with counselling and coaching services
• Access a wide range of learning and development opportunities and career progression opportunities 
• Ambitious remuneration package

So, if you like a challenge and want to continuously grow and develop in a role where you will be supported along the way by a dynamic and diverse team, apply today!!