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For your reference, we have included the original job posting below.
Credit Risk VP
Job Number:
26680720
Company Name:
Barclays Capital
Job Location:
New York, US US
Job Category:
Accounting & Finance
Credit Risk VP
Credit Risk VP
Ref 25503 Country USA City New York Business Area GFRM - Credit Risk Management Contract Type Permanent Estimated publish end date
Company Overview/Team StructureBarclays Capital is the investment banking division of Barclays Bank PLC, one of the largest multi-national financial services groups in the world. With a focus on financing, risk management and corporate finance advisory services, Barclays Capital acts internationally as an intermediary and adviser to corporates, financial institutions, governments and supranational organisations. Barclays Capital, which has the support of an AA-rated parent bank with a balance sheet of US$2.7 trillion, has offices in 26 countries and over 20,000 people worldwide, giving it the reach and distribution power to meet clientsâ?? needs wherever they are based.
The individual will be expected to join a team of twelve Quantitative Counterparty Risk Analysts.
Main FunctionThe primary focus of the Quantitative Counterparty Risk Analyst is improvement, development and validation of the counterparty risk models of the derivative transactions in all areas (FX, rates, credit derivatives, equity, and commodity) with a particular emphasis on gas and power. The main duties include:
· developing of Monte Carlo based counterparty risk system;
· quantifying credit exposures for structured or complex transactions;
· reviewing new products risking methodologies (examples include credit derivatives and baskets; inflation linked swaps etc);
· providing peer-review for all new development work carried on derivatives in CRA
· providing risking methodology for short term risking, e.g. historical simulation etc.
Main DutiesThe successful candidate is expected to project manage multiple initiatives either sequentially or in parallel with others and to work closely with senior quantitative credit analysts, credit experts and the Risk IT development teams in middle office, communicate clearly with traders and sales in front office, and advise on operational aspects of methodology. The position is a Director level or senior VP hire.
Person RequirementsPhD degree in quantitative areas such as physics, mathematics or computer science.
Minimum 7 yr of experience in quantitative.
Extensive product knowledge in credit derivatives, FX, rates, asset-backed securities, and/or commodity; extensive market risk VaR methodology
