Senior VP, Counterparty Risk Modeling (Hybrid)

SMBC Group; Jersey City (NJ); On-site; USD 189,000 - 195,000; Full time

Benefits offered by this job

Annual discretionary incentive

Benefits package

Hybrid work model

Job summary

SMBC Group in Jersey City, NJ is seeking a Vice President to lead counterparty credit risk modeling. The role entails developing, enhancing, and maintaining CCR models across asset classes, with emphasis on regulatory compliance and model governance.

You will collaborate with Risk IT and the front office to productionize models and design comprehensive stress tests. The position requires a Master’s degree with 8+ years of experience in CCR modeling, PFE, and Monte Carlo simulations, using Python

Qualifications

• Master’s degree in mathematics, statistics, or related field with 8 years of experience.
• Experience in CCR modeling, including PFE and margin exposure measures, and stress testing scenarios.
• Proficiency in Python for quantitative modeling, data analysis, and testing.
• Familiarity with regulatory standards governing counterparty credit risk models and governance.

Responsibilities

• Lead development and maintenance of CCR models across asset classes with focus on regulatory compliance.
• Evaluate and compare PFE, margin exposure, and Monte Carlo methodologies.
• Lead design discussions on model assumptions and implementation for derivative products.
• Collaborate with Risk IT and front office to integrate models into production systems.
• Design and maintain stress testing scenarios (historical, hypothetical, forward-looking).
• Ensure governance and documentation for model validation, testing, and monitoring.
• Support surveillance and quantitative analyses to inform risk management and regulatory reviews.
• Partner with stakeholders to estimate trade- and portfolio-level exposures for new transactions.

Skills

Counterparty risk modeling

PFE modeling

Monte Carlo simulation

Model governance

Education

Master’s degree in mathematics, statistics, or related field

Tools

Python

Job description

SMBC Group in Jersey City, NJ is seeking a Vice President to lead counterparty credit risk modeling. The role entails developing, enhancing, and maintaining CCR models across asset classes, with emphasis on regulatory compliance and model governance.

You will collaborate with Risk IT and the front office to productionize models and design comprehensive stress tests. The position requires a Master’s degree with 8+ years of experience in CCR modeling, PFE, and Monte Carlo simulations, using Python