Credit Risk Modeller -AVP / VP

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Associate Director- Credit, Risk and Quant Finance at Morgan McKinley

Reporting to the CRO, the Participation and Credit Risk (PCr) department is responsible for establishing the requirements for identifying, assessing, managing, monitoring and reporting participant risk at the firm, including calculation and adjustment of aggregate short position limits and the assessment of compliance with initial onboarding requirements as well as on-going participation eligibility for direct service participants, currencies, and liquidity providers, (i.e., financial institutions with whom enters into and maintains liquidity facilities). The firm is exposed to modest residual credit risk from each settlement member to the extent that they incur a short position in one or more eligible currencies.

The position will work closely with diverse managers across all 3LODs at the Group to

• Develop and maintain statistical and econometric risk models such as indicators of sovereign credit risk and measures of settlement member financial and operational resilience.
• Identify and monitor emerging economic risks / vulnerabilities in the jurisdictions that firm operates in, as well as the global macro-financial environment.
• Perform analyses and prepare reports that summarize and highlight key economic, financial, and geopolitical risks, for senior management
• Collaborate with Technology to develop the appropriate risk infrastructure to house the quantitative models.

The role is prepared to :

The position offers a truly global opportunity to apply economic analysis, statistical methods, strategic planning and risk management disciplines to the Group’s global foreign exchange settlement service and the broader Ecosystem. The small size and high caliber of the PCr team offers the opportunity to work closely with the Executive Management Committee and other internal and external risk managers.

Essential Functions

Strategic

The role will have responsibility for a global portfolio of sovereign and financial institutions counterparties and tasked with monitoring and evaluating macroeconomic and banking systemic risks, competitive and regulatory developments, in addition to managing annual strategic portfolio reviews of the sovereign jurisdictions and financial institutions.

The position involves continuous refinement to internal benchmarks, risk analytical tools, processes and procedures for managing country and financial institution risks exposures

The role offers the opportunity to engage in pivotal projects relating to emerging growth prospects for the organization. The position is intricately tied to fostering cross-functional collaborations across the organization, and wielding the ability to shape senior management perspectives and engage with regulators.

Essential / Desired Qualifications

Seniority level

Seniority level

Mid-Senior level

Employment type

Employment type

Full-time

Job function

Job function

Finance

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