Vice President, Counterparty Credit Risk Modeling (#8655)
SMBC Capital Markets, Inc.
Jersey City, NJFull-time$189–195K/yrSeen todaySeen in employer's feed today
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Job overview
SMBC Capital Markets seeks a Vice President to lead counterparty credit risk model development, enhancement, and maintenance across asset classes. The role focuses on Potential Future Exposure modeling, complex derivatives, stress testing, regulatory compliance, and production implementation. The position also involves counterparty surveillance, exposure monitoring, quantitative analysis, and collaboration with front-office, Risk IT, and quantitative infrastructure teams.
Skills & qualifications
Skills
Qualifications
Full job description
Experience Required
8 years
Minimum Education Required
Master's degree
Expected Start Date
11/10/2026
Compensation
$189,000.00 - $195,400.00 / Yearly
Hours Per Week
40
Number Of Positions
1
Job Description
Employer: SMBC Capital Markets, Inc.
Job Title: Vice President, Counterparty Credit Risk Modeling (#8655)
Job Location: 200 Hudson Street, Jersey City, NJ 07311
Duties: Lead the development, enhancement, and ongoing maintenance of counterparty credit risk (CCR) models across multiple asset classes, with a focus on quantitative rigor, model robustness, and regulatory compliance. Enhance Potential Future Exposure (PFE) modeling frameworks by evaluating and comparing alternative modeling methodologies, including Monte Carlo–based approaches, stress testing methodologies, and margin-related exposure models. Drive the analysis and modeling of new and complex derivative products within vendor platforms, leading technical discussions on model design, assumptions, and implementation feasibility. Collaborate closely with Risk IT and quantitative infrastructure teams to implement new CCR models, enhance existing model components, and ensure accurate integration into production systems. Design, develop, and maintain a broad suite of stress testing scenarios, including historical, hypothetical, and forward looking scenarios, to assess counterparty exposure under adverse market conditions. Ensure that CCR modeling frameworks and analytical processes comply with internal model governance standards and external regulatory requirements through robust documentation, testing, and ongoing monitoring. Perform continuous counterparty surveillance and exposure monitoring, conducting detailed ad hoc quantitative analyses to support risk management, model performance assessment, and regulatory reviews. Partner with front office and risk stakeholders to evaluate trade level and portfolio level exposures, support exposure estimation for new transactions, and provide quantitative insight into counterparty risk dynamics.
Requirements: Master’s degree in mathematics, statistics, or a related field and 8 years of experience. Experience must include the following: counterparty credit risk modeling, including Potential Future Exposure (PFE), margin-related exposure measures, and simulation-based exposure profiles across asset classes; Monte Carlo simulation, stochastic processes, and numerical methods for modeling risk factors and exposure distributions; design, implementation, and analysis of comprehensive stress testing scenarios, including historical, hypothetical, and forward-looking scenarios; regulatory standards governing counterparty credit risk models, including model validation, documentation, testing, and ongoing performance monitoring requirements; Python for quantitative modeling, model testing, data analysis, and implementation support; statistical testing, backtesting methodologies, and model performance assessment, including regression, goodness-of-fit, and stability tests; derivative products across asset classes, including the ability to analyze exposure profiles for new and complex products using vendor modeling platforms; collaboration with Risk IT, quantitative infrastructure teams, and front office stakeholders to support model implementation and exposure estimation; foundation in applied mathematics, including stochastic differential equations and numerical partial differential equation (PDE) methods. The required skills do not need to be maintained over the full term of the required experience and may be gained through employment or graduate studies.
Benefits: https://careers.sumitomocorp.com/content/why-sc-americas/
Place of Work
On-site
Requisition ID
8655
Job Type
Full Time
Application Instructions
Please email CV to [email protected]. Must reference job requisition #: 8655 to be considered.
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