Counterparty Credit Risk Quant - Vice President (London, LND, GB, EC2M 2AT)

Sumitomo
London
Workplace: OnsiteFull timeFunction: Executive & General ManagementEducation: bachelorsSkills: ["Communication","Leadership","Problem-solving","Analytical thinking","Teamwork"]

Dual-hat role in Counterparty Credit Risk Stress testing and regulatory stress frameworks. Establish industry-standard stress testing for the EMEA portfolio, support ICARA/ICAAP and regulatory initiatives, participate in risk committees, ensure governance and documentation, liaise across group entities, and develop/run internal and vendor models to strengthen BCBS-aligned counterparty risk management.

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Sumitomo
Sumitomo
2 months ago

Counterparty Credit Risk Quant - Vice President (London, LND, GB, EC2M 2AT)

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Last checked: 12 hours agoStatus: Live

Job Summary

Dual-hat role in Counterparty Credit Risk Stress testing and regulatory stress frameworks. Establish industry-standard stress testing for the EMEA portfolio, support ICARA/ICAAP and regulatory initiatives, participate in risk committees, ensure governance and documentation, liaise across group entities, and develop/run internal and vendor models to strengthen BCBS-aligned counterparty risk management.
Location: London
Workplace: Onsite
Employment Type: Full time
Job Function: Executive & General Management
Seniority: Manager level

Key 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).
  • •Support in expansion of ICAAP and ICARA framework coverage to Trading Book products, developing and enhancing Capital calculation and Stress Testing models.
  • •Participate on various ICAAP/ICARA workflows including risk tolerance set up, scenario development, stress testing calculation, and/or as instructed by management.

Pay and Benefits

Perks:Remote WorkPrivate MedicalLife InsuranceLearning BudgetPaid Leave

Key Requirements

  • •Experience in counterparty credit risk analytics within financial services.
  • •Good understanding of counterparty credit risk measures including Potential Exposure, Wrong Way Risk, Stress Testing.
  • •Excellent knowledge of Fixed Income and Derivative product pricing and the risks that arise from them (Bonds, Repos, Derivatives).
  • •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 with programming knowledge (Python, VBA, R, SQL) and experience with data visualization tools (Power BI/Tableau).
Experience:Financial servicesRisk managementCapital marketsDerivatives
Education:Bachelor's
Skills:CommunicationLeadershipProblem-solvingAnalytical thinkingTeamwork
Tech Stack:PythonVBARSQLExcelPower BITableauBloombergPrismGBR

Company Brief

Sumitomo
Sumitomo Corporation is a global diversified trading and investment conglomerate engaged in metal products, transportation, infrastructure, media, real estate, and other business domains through investments, trading, and integrated solutions worldwide.
Industry: Conglomerates & Holding Companies
Company Size: Enterprise (1,001+ employees)
Revenue: USD 1B+
Growth: Public Company
Valuation: Public Company (Market Cap in USD)
Funding: IPO / Publicly Listed
Headquarters: Tokyo, Japan
Founded: 1919
WebsiteLinkedIn