Quantitative Finance Manager

Job Description:

This position will sit in the Global Markets Stress Testing organization to focus on CVA stress calculation for CCAR and other internal and regulatory stress testing deliverables. It will support E2E delivery of regulatory templates and stress loss calculation. This role requires strong understanding of XVA concepts and associated analytical skills. The candidate in this role will have a wide range of responsibilities from ensuring that regulatory expectations are met in a controlled environment while also evaluating new and emerging risks in the portfolio. This work will require extensive engagement across risk, technology, model developer and model validator functions within the Firm. The candidate will also be a key participant in regulatory exams related to counterparty credit risk stress testing.

Primary Responsibilities Include:

• Oversee all aspects of CVA stress testing for regulatory, internal and ad-hoc scenarios

• Review and challenge the CVA stress testing methodologies, results and processes

• Build a robust data quality program for the CVA results and reporting

• Ensuring processes are proficiently documented and produced in sustainable approach

• Review all relevant rules and regulations and ensure the program is in conformance

• Support ad-hoc questions from regulators, risk, front line unit and audit partners

• Drive strategic technology initiatives to completion

• Contribute to the development of the Global Risk team and to the positive work environment

Required Skills:

• Incumbents typically have 7-10 years of experience working in a quantitative field producing regulatory deliverables

• Highly motivated individual who fully understands the demands of a market risk professional with ability to work in a fast-paced environment

• Highly proficient at communication with ability to influence co-workers across our global team and all levels of the organization

• Intellectually curious with the ability to investigate and develop root cause analysis for issues and propose corresponding process or technology changes

• Effective time management skills, with the ability to manage multiple high priority deliverables simultaneously

• Experience with regulatory exams and audit

Shift:

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