Capital Adequacy & Stress Testing Execution
The Capital Adequacy and Stress Testing team is building its stress testing and overall risk capabilities to meet an evolving regulatory environment in the US to address requirements such as CCAR 14Q Trading, 9Q RWA/VaR projection and GMS/stress testing for Market Risk. You will work in a team of risk analysts responsible for regular and ad-hoc stress analysis and SSFA RWA 9Q projections related to Securitized Product business in CSH USA, track key risks and raise potential risk issues to senior management on a timely basis.
In the above team, Credit Suisse is looking for an Assistant Vice President (AVP). This opportunity will support the execution and improvements of SSFA RWA projection and stress testing related to the Federal Reserve's Comprehensive Capital Analysis Review (CCAR) requirements. It will also be responsible for the design, planning and implementation of changes to the above functions.
- Understand the Market Risk Framework used at Credit Suisse.
- Understand the Simplified Supervisory Formula (SSFA) RWA Reporting Framework for Securitized Products used at Credit Suisse.
- Understand the Modeling Framework for Securitized Product Collateral Performances used at Credit Suisse.
- Work with Lines of Business to understand key risk drivers in the Credit Suisse USA holding company, and work with SSFA Projection modeling team to conceptualize improvements to the modeling methodology for 9Q SSFA projections.
- Work closely with IT for Risk deliverables and with model validation teams to get the related models validated.
- Help review 9Q VaR/SVaR projections.
- Delivery of CCAR/DFAST SSFA RWA projection results including running the projection models in production, analysis and preparation of materials for senior management and the Regulators and documentation for Regulatory Submissions.
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook. You Offer
- You have 3 - 8 years of experience with Market risk modeling, statistical testing, time series methodology or stress testing & scenario analysis.
- A Master's degree in a quantitative discipline preferred.
- Experience with VBA and/or other scripting languages is a plus.
- You have experience with statistical tools and risk management tools.
- You have the ability to work under tight deadline and high pressure environments.
- You have excellent communication skills - ability to present complicated modeling concepts and techniques to senior management clearly and visually.
- Deep knowledge of Securitized Products and their risk characteristics or modeling will be beneficial.
- You have the ability to implement proof of concept solutions in order to present or test ideas quickly.