Credit Suisse - AVP - Credit Risk Reporting

Job Description:

Main Duties / Responsibilities:

- The primary focus of the role includes the analysis, specification, design and implementation of daily Credit risk feeds.

- The role involves understanding the various processes to generate the risk numbers retrieved by various risk feeds. This will involve evaluation and analysis of Credit risk exposures by employing statistical and other approaches.

- Work closely with the Business, Front Office IT, Risk IT, Controllers, Operations and counterparts in other regions

- The key elements of the projects include planning, assessment of completeness and accuracy of the data, specification of feeds, processing and testing.

- 6 to 8 years of Financial services experience in Credit Risk Management or Credit Model Development (PD, LGD, EAD) or Credit Capital reporting in an Investment Bank.

- Understanding of regulatory environment framework Basel 3 and Counterparty Credit Risk CVA.

- Working knowledge of VaR and Credit Risk EE/PFE methodologies and Risk sensitivities.

- Working knowledge of traded product credit exposure measurement techniques (MTM + add-on, PFE monte-carlo simulation etc) and their application across the range of traded derivative products.

Required:

- Functional documentation experience.

- Strong understanding of Market and Counterparty risk

- Good understanding of the mathematical foundations to VaR and Credit Risk EE/PFE methodologies

- Strong understanding of the typical credit risk business processes, policies and procedures

- Strong understanding of risk sensitivities, Greeks, their mathematical interpretation and daily use

- Strong understanding of structured business analysis i.e. gathering requirements, documenting

- Ability to work between business and IT, produce specification and oversee UAT

- Knowledge of risk model design from mathematical description to software design

- Broad knowledge across trading and banking book products e.g. OTC derivatives, interest rates, FX, Loans & Equities.

- Strong knowledge of securities financing transactions and/or another product class in depth within equity

- Good working knowledge of financial products including pricing.

- An understanding of some of the more common financial products (e.g. Forex trades, futures, options, swaps, credit derivatives).

Technical/Business Skills and Knowledge:

Essential / Desirable:

- Strong stakeholder management capabilities.

- Exceptional communication and writing skills.

- Very strong control skills.

- Strong spreadsheet and database skills.

- Strong technical understanding of SQL and database modelling