Risk Appetite - Models & Methodology Lead # 118195
Posted on Dec 13, 2018 by Credit Suisse -
GM/IBCM/CUSO Risk Appetite (RA) is responsible for setting overall risk limits for Global Markets, Investment Banking and Capital Markets, and Consolidated U.S. Operations within Credit Suisse. The team's focus is an integrated approach (partnering with Financial, Capital, and Business planning) that ensures a consistent and coherent approach to risk-taking that implements senior management's strategic vision. RA staff regularly discusses issues with senior staff across PC, CFO, COO, and CRO, and are expected to understand theoretical risk issues, mechanical details of calculations, and pragmatic business considerations. The RA team also works closely with both business-aligned risk management teams as well as the Enterprise Risk and Portfolio Risk teams.
- You will act as Risk Appetite's SME on Risk models and methodology, including VaR, ERC, Scenario Loss, and CCAR PPNR models.
- Oversee calculations of pro-forma impacts of methodology changes, and highlight potential issues to senior management in advance.
- You will lead discussions with business partners on Risk Appetite Methodology, clearly presenting risk controls and possible business optimization solutions.
- Develop and improve what-if capabilities and frameworks to support analysis of limit affordability and calibration.
- Developing presentation materials for high profile meetings, including Board of Directors and Fed meetings.
- Interact extensively with central methodology teams located in other business centers, and ensure that GM/CUSO needs are met.
- Either in isolation or in partnership with central methodology teams, develop new and improve existing models, calculations, and frameworks.
- Ensure that changes to models are well-understood by business partners, and highlight areas where existing or proposed models do not accurately reflect GM/IBCM/CUSO's business mix or market realities.
- You will manage a team of 2 people while partnering with the rest of the group to address issues both in RA and the wider Enterprise Risk team.
- Build and maintain relationships with stakeholders in other areas (Finance, Trading, Banking) based on a shared understanding of the firm's risk and financial goals.
- Incorporate views and feedback from partners into the Risk Appetite framework to achieve solutions that work for all areas.
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook.
- You have quantitative degree and affinity for problem-solving and out-of-the-box thinking.
- Do you have 5+ years of professional experience in a quantitative role in Financial Services, with a basic understanding of bank regulatory capital, financial metrics, and balance sheets?
- You have knowledge of key investment banking products, traded risk and capital markets.
- Do you have an understanding of risk measurement frameworks, with hands-on experience and deep understanding of VaR, scenario loss models, and other tools for quantitative measurement of risk?
- Do you have an excellent interpersonal skills in English (both verbal and written)?
- Do you have a well-organized and detail-oriented approach to your work?