Counterparty Credit Risk Modelling

 SMBC Group is a top-tier global financial group. Headquartered in Tokyo and with a 400-year history, SMBC Group offers a diverse range of financial services, including banking, leasing, securities, credit cards, and consumer finance. The Group has more than 130 offices and 80,000 employees worldwide in nearly 40 countries. Sumitomo Mitsui Financial Group, Inc. (SMFG) is the holding company of SMBC Group, which is one of the three largest banking groups in Japan. SMFG’s shares trade on the Tokyo, Nagoya, and New York (NYSE: SMFG) stock exchanges.

In the Americas, SMBC Group has a presence in the US, Canada, Mexico, Brazil, Chile, Colombia, and Peru. Backed by the capital strength of SMBC Group and the value of its relationships in Asia, the Group offers a range of commercial and investment banking services to its corporate, institutional, and municipal clients. It connects a diverse client base to local markets and the organization’s extensive global network. The Group’s operating companies in the Americas include Sumitomo Mitsui Banking Corp. (SMBC), SMBC Nikko Securities America, Inc., SMBC Capital Markets, Inc., SMBC MANUBANK, JRI America, Inc., SMBC Leasing and Finance, Inc., Banco Sumitomo Mitsui Brasileiro S.A., and Sumitomo Mitsui Finance and Leasing Co., Ltd.

The anticipated salary range for this role is between $213,000.00 and $235,000.00. 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

The Director of Trading Book Risk Modelling will oversee and manage Counterparty Credit Risk and stress testing framework. This role requires an experienced professional with a deep understanding of counterparty credit risk, market risk, stress testing methodologies, and regulatory requirements. The Director will lead a team of quantitative analysts and collaborate with various departments to ensure the bank’s risk management practices are robust and compliant with regulatory standards.

Role Objectives

• Lead end-to-end development, implementation, and documentation of counterparty credit risk models (PFE, EPE, CE).
• Design and enhance stress testing framework to evaluate the impact of various stress scenarios including CCAR scenarios.
• Define and improve CCR methodology for existing and new products following industry best practices. 
• Coordinate with Model Validation and Audit to address model risk findings and ensure models pass rigorous validation process.
• Collaborate with risk technology and data groups to implement models.
• Monitor model performance through various data checks and ongoing monitoring including back-testing.
• Establish controls and processes to ensure models are accurate and reliable.
• Utilize new quantitative approaches to streamline model development process and enhance data quality.
• Present methodologies and outcomes to executive leadership and risk committees.
• Assist in responding to regulatory requests and internal audit reviews.
• Act as primary point of contact for CCR inquiries from internal and external stakeholders. Build and maintain strong relationship with other teams.
• Manage and mentor a team of quantitative analysts, fostering a collaborative and high-performing environment.

Qualifications and Skills

• Master’s or PhD in Quantitative Finance, Statistics, Mathematics or related fields. 
• Minimum of 10 years of experience in counterparty credit risk, market risk or stress testing modelling and analytics.
• Strong knowledge of capital markets, derivative products, PFE/VaR and stress testing methodology.
• Proven track record in developing regulatory compliant models.
• Excellent analytical and problem-solving skills with the ability to present complex models to diverse audience.
• Proficiency in statistical programming languages (e.g. Python) and data visualization tools (e.g. PowerBI).
• Deep knowledge of regulatory requirements related to CCR and stress testing (e.g. SR 11-10, CCAR).
• Proven ability to lead and motivate a team. Strong interpersonal skills and the ability to build effective working relationships.
• High degree of accuracy and attention to detail in all work activities.
• Ability to thrive in a fast-paced and dynamic environment. Demonstrated ability to manage multiple priorities and projects simultaneously.

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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.

SMBC provides reasonable accommodations during candidacy for applicants with disabilities consistent with applicable federal, state, and local law. If you need a reasonable accommodation during the application process, please let us know at accommodations@smbcgroup.com.