Associate Risk Officer: Counterparty & XVA Analytics

CGAP; Washington (District of Columbia); On-site; USD 140,000 - 200,000; Full time

Job summary

CGAP in Washington, DC seeks a counterparty risk professional to monitor exposures, manage ISDA/CSA documentation, and support Basel capital requirements. The role covers PFE/EE/EAD analysis, migration of risk systems, and development of risk dashboards.

Responsibilities include evaluating new products for credit risk, and preparing management-level risk reports. Strong quantitative skills and familiarity with derivatives risk are essential.

Responsibilities

• Exposure Monitoring Reporting: Contribute to the day-to-day monitoring, analysis, and reporting of counterparty credit risk exposures and limit utilization, including Potential Future Exposure (PFE), Expected Exposure (EE), Exposure at Default (EAD), pre-trade impact assessments, and portfolio-level exposure analysis across derivative counterparties.
• ISDA / CSA Management: Maintain and analyze the inventory of ISDA Master Agreements, Credit Support Annexes (CSAs), collateral arrangements, and key contractual terms; perform comparative analysis and support the resolution of counterparty credit issues in collaboration with Legal and business teams.
• Reviewing how PFE and related exposure measures behave under market movements, to confirm they support effective monitoring of IFC counterparty credit limits.
• Reviewing the set-up of credit limits and the migration of the IFC portfolio from Numerix to Murex for completeness and accuracy, and providing credit risk sign-off ahead of PFE production use.
• Basel Capital Standards: Monitor and assess Basel capital standards relevant to counterparty credit risk - including SA-CCR, CVA capital, and leverage ratio - and support their incorporation into risk measurement, limit-setting, and governance practices.
• Analytics Automation: Develop, automate, and enhance covered bond, securitized asset, reporting, dashboards, including the application of advanced analytics and AI-enabled monitoring to improve risk surveillance for securitized assets.
• New Product Assessment: Assess counterparty credit risk for new products, structured transactions, and local currency funding and hedging proposals, providing independent quantitative challenge and analytical input to transaction reviews, policy papers, and governance notes.
• XVA FVA Policy: Support the development and refinement of FVA and broader XVA policies and methodologies, including XVA attribution by trading desk; validation of funding, discount, and CDS curves and volatility assumptions; and analysis of differences between modeled, realized, and expected exposure profiles.
• Senior Management Reporting: Prepare and contribute to risk assessments, presentations, briefing materials, and memoranda for senior management and governance committees.
• Securitized Credit Risk (Secondary Focus): Structured Products Analysis: Conduct quantitative analysis and assessment of structured and securitized products (ABS/MBS), including evaluation of risk-return trade-offs, P L impact, and preparation of analytical materials for management.
• Local Currency Risk Frameworks: Support the development and enhancement of local currency risk frameworks, monitoring tools, early warning indicators, portfolio analytics, and management reporting.
• Develop monitoring criteria for securitization and covered bond pools, using specialist product knowledge to define the risk drivers, indicators and thresholds.
• Hand over completed tools to the relevant teams for routine operation.

Job description

CGAP in Washington, DC seeks a counterparty risk professional to monitor exposures, manage ISDA/CSA documentation, and support Basel capital requirements. The role covers PFE/EE/EAD analysis, migration of risk systems, and development of risk dashboards.

Responsibilities include evaluating new products for credit risk, and preparing management-level risk reports. Strong quantitative skills and familiarity with derivatives risk are essential.