Credit Suisse - AVP - Credit Risk Management

One of the world's leading banks, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. Founded in 1856, Credit Suisse has a long tradition of meeting the complex financial needs of a wide range of clients, offering advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients in Switzerland. Credit Suisse is active in over 50 countries and employs approximately 45,000 people.

- Cultural diversity is essential to our success. As such, we employ people from more than 100 countries. Credit Suisse empowers employees to work openly and respectfully with each other and with clients, ultimately striving to deliver superior results while offering initiatives and programs to assist employees achieve a healthy work-life balance.

- Credit Risk Management is a unit within the CRO Division. We are responsible for developing and documenting the methodologies used to measure credit risk as well as for reporting on those risks Credit Suisse is exposed to. These activities involve frequent interaction with a number of significant stakeholders such as front office, risk analysis and reporting, financial accounting as well as auditors and regulators.

- Given enhanced regulatory scrutiny of large banks, our area has seen a substantial increase in the number of regularly required reports as well as the number of ad-hoc requests especially from regulators. We are therefore looking to expand our team to cope with the additional workload and at the same time remain proactive in further developing the methods we apply in measuring and managing our risks.

- Portfolio Analytics & Control (PA&C) team in Mumbai is part of the global CRM- Credit Analytics team. PA&C owns and is responsible for further development of methodology for several key areas in counterparty credit risk measurement including scenarios and stress testing, back-testing of IMM models, Wrong Way Risk assessment and Collateral treatment (FCCM).

- The primary role of the team is to measure and verify counterparty credit risk for the investment bank. The objective of the role is to work closely closely with the colleagues in London, Zurich and NY to support changes/enhancements to the methodology frameworks and additionally support several tactical process and reports for regulators as well as credit officers.

We offer :

- Collaborate in implementing methodology changes in WrongWayRisk and other strategic initiatives.

- Collateral haircut and margin period of risk (FCCM)

- Maintain and enhance the routing tables used to route trades to the most appropriate calculators.

- Other bespoke requests regarding exposure analysis for several audit or regulatory reports.

- Running and maintaining all tactical tools (in MS Access and MS Excel) for exposure measurement used globally.

These tools are in place to :

- Calculate counterparty exposures for particular product types,

- Update parameters that are used in counterparty exposure calculations

You offer :

- Good MS Access skills

- Good VBA & SQL knowledge

- Should have experience with at least one of the following :

i) OTC Derivatives (At least one asset class), Secured Financing Transactions

ii) Pricing models

iii) Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)

- MBA/Analytical/Numerical degree

- Should have knowledge of basic programming, algorithm.

- Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.

- Being responsible for deliverables.

- Good Communication skills.

- Highly Detail Oriented.