Vice President, Counterparty Credit Risk Analytics

The anticipated salary range for this role is between $138,000.00 and $185,000.00. The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire. The role may also be eligible for an annual discretionary incentive award. In addition to cash compensation, SMBC offers a competitive portfolio of benefits to its employees.

Role Description

We are seeking a highly motivated and detail-oriented Vice President to join the Counterparty Credit Risk (CCR) Analytics team. This role will lead the development, enhancement and maintenance of CCR models. This position will also be responsible for driving improvements in data quality controls, model performance monitoring and model calibration. In addition, this role will lead discussions on CCR modelling for new products and collaborate with Risk IT team to implement model changes. This role offers significant exposure to the CCR analytics framework, derivatives and SFT valuation methodologies, and broader enterprise risk management practices. This VP role requires a strong quantitative and analytical background, with the ability to translate complex risk analytics requirements into clearly defined mathematical problems and to identify optimal modeling choices among multiple approaches.

Key Responsibilities

• Lead efforts to define and enhance PFE methodologies for both existing and new products.

• Drive CCR modeling requirements and partner with Risk IT team for implementation.

• Identify model weakness and limitations and develop remediation actions and compensating controls.

• Perform root-cause analysis to identify MTM and PFE differences across different valuation methodologies.

• Work closely with validation group for model changes and address model validation findings.

• Perform model calibration and ongoing monitoring activities, including root-cause analysis of breaches and development of remediation actions.

• Communicate complex modeling concepts and results to a diverse range of stakeholders.

Qualifications and Skills

• PhD or Master’s degree in Financial Engineering, Mathematics, Computer Science, Statistics, or a related quantitative field. Professional certifications (e.g. CFA, FRM) are a plus.

• Minimum 7+ years of experience in counterparty credit risk or market risk modeling.

• Proven model development experience with CCR, XVA, VaR or stress testing, and familiarity with advanced CCR modeling techniques.

• Strong knowledge of capital markets, derivatives products, SFT products, and related valuation methodologies.

• Solid understanding of CCR concepts (PFE, EPE, collateral, netting) and regulatory requirements.

• Excellent analytical, problem-solving and communication skills.

• Proficiency in statistical programming languages (e.g. Python, SQL), and data visualization tools (e.g. Power BI) etc.

• Strong project management skills and ability to manage multiple priorities and work effectively in a fast-paced and collaborative environment.

SMBC’s employees participate in a Hybrid workforce model that provides employees with an opportunity to work from home, as well as, from an SMBC office. SMBC requires that employees live within a reasonable commuting distance of their office location. Prospective candidates will learn more about their specific hybrid work schedule during their interview process. Hybrid work may not be permitted for certain roles, including, for example, certain FINRA-registered roles for which in-office attendance for the entire workweek is required.

EOE, including Disability/veterans