Credit Suisse - AVP - Model Validation

Credit Suisse is a leading global wealth manager with strong investment banking and asset management capabilities. Founded in

- 1856, Credit Suisse has expanded to be a global force employing over 45,000 people in 50 countries. With new leadership,a new strategy and a streamlined global organization, we are set for growth. We partner across businesses, divisions and regions to create innovative solutions to meet the needs of our clients- and to help our employees grow. It is a high priority for us to continually invest in our employees by providing ongoing opportunities for training, networking and mobility. Join us and let's shape the future of Credit Suisse together

We offer :

The main responsibilities of this role are the development and specification of market risk methodology across asset classes, in particular development of market risk models to be used under new regulations as prescribed by Fundamental Review of trading Book (FRTB). More specifically, the responsibilities include

- Understand the products traded and trading strategies used.

- Identify all sources of market risk.

- Develop and specify the internal market risk models.

- Understand risk models (VaR & RNIV) currently in use and proposed changes under FRTB regulations

- Development and implementation of risk methodologies to be used for market risk measurement under FRTB

- Define and specify implementation of stress scenarios for non-modellable risk factors.

- Define and specify implementation for standard rules capital calculation (sensitivity based approach) at group and trading desk levels.

- Evaluate the impact of the new models and capital rules

- Ensure that any significant tail-risk is highlighted to the Scenarios team.

- Support the development and specification of the Economic Risk Capital (ERC) model.

- Collaborate closely with the Model Validation group to ensure that the risk sensitivities used for risk calculations are appropriate.

- Collaborate closely with the data team to ensure that the historical data used in calculations are appropriate.

- Collaborate closely with the change teams, to ensure that any changes to methodology are appropriately projectmanaged for implementation.

- Ensure that all risk models are adequately documented for both internal and external (e.g. regulatory) purposes.

You offer :

- The role would suit a candidate with experience in quantitative risk measurement within an investment bank or, more broadly, with experience in a quantitative role within finance. It is essential that the candidate has a very good
understanding of financial mathematics, and in particular an understanding of derivative instruments and the risks they generate. He or she also needs to understand the effects, and relative importance, of underlying risk factors upon the value of the instruments.

- A very strong mathematical background is essential. In addition a background in statistics, time series analysis and probability theory would be of particular interest. Problem solving skills, as well as computational and communication skills, are essential. The candidate should be able to explain complicated concepts clearly to all members of staff, and present their proposals in a clear and precise manner to senior management and regulatory bodies.