Credit Suisse - AVP - Market Risk

Your field of responsibility

Stress Scenario Design develops stress scenarios for the CS Group. The output and analysis of stress scenarios is presented to senior management and to the CS Board. Support for the development of stress scenarios for CS Legal Entities will also be required. The key business partners will be the CS Group's head regulator (FINMA) as well as CS Board and CS senior management. Accordingly, this role will eventually offer significant exposure to senior management. Stress Testing is viewed internally within CS as an integral risk management and business-planning tool and not just as a regulatory requirement. The role will lead to a detailed understanding of the CS Group stress-testing framework in terms of risk coverage and methodologies applied.

Key responsibilities include:

- Assisting in publication of thematic risk reports pertaining to Climate Risk/ ESG issues and External Emerging Risks by doing primary, secondary, or tertiary research.

- Building ad hoc stress scenarios, under tight deadlines, to meet topical risk assessment requirements of the group as external risk environment evolves.

- In addition, help to maintain and refresh the existing suite of structural internal stress scenarios to ensure relevance to evolving external conditions and to ensure that material CS risks and exposures are continued to be captured.

- Support as required on the calibration of the CECL scenarios and the financial plan baseline calibrations.

- Econometric/ quantitative modelling to develop new approaches to calibrate new scenarios, enhance automation and reduce turnaround time.

- Supplementing the use of models with qualitative judgement based on sound reasoning to pro-pose overlays to the model output.

- Assist in driving the syndication and agreement on stress scenario assumptions with the CS Economic Research fraternity, with CS risk managers across all the asset classes, with model owners, and with CS Businesses.

Your future colleagues :

This role will be within the External Emerging Risks team which is part of the Group ERM Scenario Design and Expansion vertical, within Credit Suisse (CS) Group Enterprise Risk Management (ERM). The team is supported by colleagues located in Zurich, London, Warsaw, and Mumbai. In the team, you will report to the External Emerging Risks Team Leader in Mumbai.

The department 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 cultural values.

Your skills and experience:

You are expected to possess the below:

- Experience in econometric/ quantitative modelling alongside forecasting macro-economic and market variables.

- Ideally some experience in translating macro-economic and market concepts into plausible risk factor shocks in hypothetical stress scenarios.

- An awareness of Market Risk, Credit Risk, Operational Risk and Treasury/ Liquidity management issues most likely gained through working in a risk function in a financial institution.

- Good understanding of current macro-economic environment to assess and analyze emerging risks, including climate change, and ability to translate this understanding into risk management assessment and analysis and into stress scenario design.

- Understanding of ESG/ Climate change issues and inherent risks would be an added ad-vantage.

- Outstanding quantitative background, such as a degree in Finance, Economics or in Statistics.

- Having a CFA/ FRM charter would be a plus.

- Data modelling and database management skills, including coding skills to facilitate automation.

- Experience of R or Python programming.

- Excellent communication skills, both verbal and written.

- Strong facilitation skills to manage projects from start-to-finish and to tight deadlines.

- 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

Your new employer

Find a new home for your skills, ideas, and ambitions. Credit Suisse offers you the ideal environment to progress your career, attractive benefits, and excellent training.

We are a leading wealth manager with strong global investment banking capabilities founded in 1856. Headquartered in Zurich, Switzerland, and with more than 45,000 employees from over 150 nations, we are always looking for motivated individuals to help us shape the future for our clients.

Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive ad-vantage in the global marketplace and drives our success. Our bank provides reasonable accommodations to qualified individuals with disabilities, as well as those with other needs or beliefs as may be protected under applicable local law. If you require assistance during the recruitment process, please let your recruiter know.