Credit Suisse - Counterparty Credit Risk Reporting Role (2-12 yrs)
Credit Suisse is a leading global wealth manager with strong investment banking capabilities. Headquartered in Zurich, Switzerland, we have a global reach with operations in about 50 countries and employ more than 45,000 people from over 150 different nations. Embodying entrepreneurial spirit, Credit Suisse delivers holistic financial solutions to our clients, including innovative products and specially tailored advice. Striving for quality and excellence in our work, we recognize and reward extraordinary performance among our employees, provide wide-ranging training and development opportunities, and benefit from a diverse range of perspectives to create value for our clients, shareholders and communities. We are Credit Suisse.
We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards.
Responsibilities as part of the RFDP- Capital team include
- Validate credit risk exposure calculation at a counterparty and a portfolio level across various business divisions like Prime Brokerage, OTC Derivatives, FX, Repo, ETFO, SLB, from regulatory perspective using different methodologies like SACCR, Monte Carlo, CEM etc.
- Validate end-to-end data flow and functioning logic of our proprietary Counterparty Credit Risk Management tool
- Re-compute credit risk exposures for data quality or methodology issues
- Analyse Potential Exposure/Expected Positive Exposure of traded products and provide qualitative commentary for Day on Day, Week on Week and Month on Month exposure moves
- Seek to demonstrate Ownership of Expected Exposure outputs by analysing the same for Potential Exposure analysis, Default Risk RWA, CVA RWA
- Identify and facilitate resolution of issues leading to anomalous Exposure values and calculation of indicative exposures by using advanced simulation tools and models for factor based, and Monte Carlo risk calculators
- Build practical solutions to regulatory requirements for Capital-related reporting
- Coordinate with various business partners - Credit Analytics, Capital Reporting, Regulatory Reporting, Credit Risk managers, data suppliers and process teams responsible for key data sources and processing
- Proficiency of Basel3 regulations along with Margining, Wrong way risk, Treatment of re-securitised collateral, SACCR, IOSCO, leverage-ratio in counterparty credit risk space is a must.
- Understands the value of diversity in the workplace and is dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work. This should be further elaborated on in your application.
- Post-Graduate degree in Finance/Statistics/Economics/Sciences/Engineering/Mathematics with completed CFA/ FRM/ Actuarial/ PRM qualifications with minimum 4 years in a financial institution with outstanding product knowledge of derivatives and lending products
- Proficiency in Counterparty Risk management tools and techniques as well as outstanding analytical problem solving skills
- While leading team of 4 to 5 analysts while reviewing BAU analysis, project deliverables like control requirements, UAT testing delivered by team. Driven and strong personality able to move forward both existing processes as well as the related projects in parallel to each other
- Build and maintain positive relationships with project managers while providing requirement's for tools, reports which are required to run BAU analysis and ability to handle challenging conversations and time critical deliveries
- Outstanding written and verbal communication skills, in addition to working in a fast paced environment
- Knowledge of regulatory counterparty credit risk topics such as IOSCO, SACCR, Standardized approach, Default risk and Advanced CVA RWA, EPE & EE, Margining, wrong way risk from Basel 3 regulations perspective is must to have.
- Ability to work with large volumes of data using spread sheet and Database Query tools (MS Excel and Access). Prior experience of working with counterparty credit risk systems with Machine learning platforms is a plus
- Result oriented, dedicated, hardworking and can work on own initiative whilst also working collaboratively and deliver on time with a high level of integrity, sense of urgency, attention to detail and quality standards
Equal Opportunity Statement
Credit Suisse is an equal opportunity employer. Embracing diversity gives us a competitive advantage in the global marketplace and drives our success.
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