Credit Suisse - AVP - VaR Methodology

We Offer:

Work alongside the Credit Risk VaR Methodology team to improve the Insight calculation of Counterparty Exposure (PE & EPE).

- Collaborate with RPCM and IT and FeedsBA and IT teams in implementing methodology changes and data upgrades.

- Maintain and enhance the control mechanisms for checking sensitivities/routing trades appropriately, including ad hoc investigation of risks required for non-vanilla trade types.

- Assist with analysis and closure of model validation tasks and caveats for models for which the team is responsible (RepoVaR, collateralized EPE, DLE, CCP etc)

- Other bespoke requests regarding exposure analysis for several audit or regulatory reports.

You Offer :

- Good MS Access skills

- Good VBA & SQL knowledge

- Should have experience with at least one of the following

a) OTC Derivatives (At least one asset class), Secured Financing Transactions

b) Pricing models

c) Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)

d) Market Risk (or Counterparty) historic VaR calculations

- MBA/Analytical/Numerical degree

- Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.

- Being responsible for deliverables.

- Good Communication skills.

- Highly Detail Oriented.

- Team and/or project management

FRM Leval II & CFA candidates will be preffered