12/08 Manaal Kate
HR at Credit Suisse

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Credit Suisse - Risk Modeler - Quantitative (2-6 yrs)

Mumbai Job Code: 731195

Job Description:

- Enterprise Risk APAC intends to outsource - APAC CRO Enterprise Risk Management- function from CS Services AG, Singapore Branch to Credit Suisse Business Analytics.

The team will perform the following tasks:

Risk Identification

- Support collation of material risks identified by the annual risk polling exercise.

- Preparation of high-quality presentations for a diverse audience from senior risk management to key support departments

- Identify a complete list of risks, and clearly specify which risks have not been captured in stress tests, and quantify impacts of those risks considered material.

Risk Appetite

- Prepare Risk Appetite Dashboard and perform Risk analysis (divisional and legal entities level) for the purpose of relevant measures.

- Summarize weekly market commentaries for Risk Management Committee (RMC) report and support consolidation of Group Risk Report.

- Conduct deep-dive analyses and annual review of risk appetite on key APAC legal entities.

- Recalibrate/simplify the Risk Appetite Framework and Statement, ensuring linkage to the short and long term strategic objectives

- Optimize Pre-tax income (PTI) return on economic risk capital (ERC)

Stress testing :

- Review monthly divisional and country stress scenarios results that are used for APAC and key legal entities RMC.

- Understand macro-economic developments and how they impact the APAC portfolio

- Liaise with other risk departments (credit, market, operational) with an aim to provide holistic risk analysis

- Assist in scenario design and stress testing, including the development of prototypes on spreadsheets

- Understand and explain Group stress tests include Group's Severe Flight to Quality (SFTQ) scenarios

- Enhance APAC Division and Legal Entities stress testing capability through inclusion of non-position risks (liquidity, operational, capital, regulatory metrics), develop an additional macro scenario, establish ad-hoc stress testing and build liquidity stress testing (Barometer 2.0/3.0) to capture divisional portfolio nuances

Inflection Point Indicator :

- Develop early warning indicators to monitor our major risks.

You Offer:

Quantitative Degree Candidate ;

- A Ph.D., Master or Bachelor degree in a quantitative discipline (Economics, Mathematics, Engineering, Statistics, Physics, etc.) is preferred.

- Advanced proficiency in one or more programming skills such as R, Python, SQL, Excel, and VBA

- Excellent written skills, ability to compose well-structured model and methodology technical documentation

- Excellent verbal communication and presentation skills, ability to engage in concise, effective discussions

- Comfortable implementing models and carrying out tactical software development to interface with existing technology/modeling infrastructure

One or more experiences in the followings are preferred:

- Quantitative modeling in risk management, econometrics, financial forecasting, and regulatory and economic capitals.

- Stress testing and scenario analysis across key risk types (market risk, credit risk, liquidity, and operational risk)

- Risk limit setting

- Design or implementation of Risk Appetite Frameworks

- Strong product knowledge across a diverse range of products

- Excellent understanding of capital modelings such as regulatory capital, economic risk capital and risk-weighted assets (RWA)

- Dealing with regulators or regulatory issue

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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