Basel Committee on Banking Supervision recently issued a second consultative paper on the Fundamental Review of the Trading Book (FRTB). The paper comprises a detailed set of proposals for a comprehensive revision of the market risk framework. Credit Suisse is required to undertake the actual portfolio Quantitative Impact Study (QIS), which aims to estimate the firm's market risk capital under the revised FRTB framework.

We offer:

- Analyse the Internal Model approach Expected Shortfall impacts under FRTB across all businesses within Credit Suisse using in-house systems and Excel spreasheets

- Analyse the multiple criteria through quantitative and qualitative features of the trading desks to be able to eligible to use Internal Model approach to capitalize their trading activities, across the businesses globally

- An opportunity to stay at the forefront of changing market risk regulation, by assessing the risk model's market data quality under the new FRTB rules

- Analyse impact on VaR from methodology changes under new FRTB rules

- Analyse the Market Risk capital impacts under FRTB across all businesses within Credit Suisse

- Assisting in compiling presentations for senior management of the model framework

- Liaising with London team lead on the analysis tasks

- Performing analysis to respond to questions from risk managers, senior management and regulators

- Identify areas of system development and enhancements.

- Develop subject matter expertise and proactively engage various stakeholders in identifying the issues relating to market data.

You Offer:

- 1-4 years’ experience in Market Risk experience

- Experience with VaR model essential and product knowledge advantageous

- Understanding of different asset classes, risk types and market data set

- Being strongly analytical and with great attention to details

- Strong MS Excel skills, VBA experience advantageous

- Team player as well as capable of doing self-led analysis

- Confident in communication and presenting analysis verbally and in Powerpoint slides

- Capable of working towards tight deadline in a pressurised environment

- Good quantitative background, e.g. science, engineering, MBA etc

- Financial qualification preferred (CFA, FRM etc)

Tuhina Maathur

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