Credit Suisse - Analyst - FRM - Risk Analytics & Reporting

Candidates with the below credentials will only be considered -

1. FRM certification is MUST

OR

2. MBA (Finance) from Premier Institutes with Risk Analytics experience of 1 year

Job Description:

- Understand credit risk exposure valuation at a portfolio level across various business lines like Prime Brokerage, ETFO, Derivatives, FX, Repo, SLB, from a system, business and methodologies perspective

- Understand end-to-end data flow and functioning logic of our proprietary Credit Risk Management tool

- Analysis of PE/EPE (& hence RWA and capital) of the Investment bank and commentary day on day (based on daily trend reports).

- Ownership of PFE & EPE outputs and analysis and Preparation of daily monthly Exposure analysis packs and presentations

- Identify and facilitate resolution of anomalous EPE values and calculation of indicative exposures till incorrect. This is done using advanced simulation tools and models for factor based, sensitivity based (Historical simulation) and Monte Carlo (Taylor series approximation and/or Partial revaluation) risk calculators

- Providing subject matter expertise and analytics support to Finance and CVA team regarding risk and regulatory topics or initiatives

- Develop practical solutions to regulatory requirements for Capital-related reporting

- Interaction with data suppliers and process teams responsible for key data sources and processing