Credit Suisse - Manager/AVP - Quantitative Risk

AVP-Quantitative Risk Manager- Credit Suisse

Your field of responsibility :

- Economic risk capital or stress testing methodology expertise in areas of market risk, credit risk, and other risk types

- Focus on statistical data analysis, covering economic risk capital and stress scenario modelling, including for example aggregation and allocation

- Develop innovative solutions, improve and maintain existing models. Review assumptions and implementation of models, and assess model suitability for in-scope products. Ensure that mod-elling approaches meet both internal business needs and regulatory requirements

- Work closely with other members of Enterprise Risk Management, Quantitative Analysis and Technology, and Model Risk Management to support model building, review and analysis of complex result sets reflecting the bank's performance

- Drive and implement strategic economic risk capital initiatives, including risk management (limit cascades) and performance analysis (return on economic risk capital)

Your skills & experience :

- Excellent financial modelling skills with a strong quantitative background, such as a degree in Mathematics, Physics, Quantitative Finance, Statistics, Engineering, or Econometrics

- 4 to 8 years of experience in a methodology/risk modelling/analytics function covering either mar-ket or credit risk, preferably in stress testing or economic risk capital

- Previous experience in carrying out methodology development projects is an advantage

- Familiarity with statistical techniques, e.g. regression analysis, hypothesis testing, time-series modelling

- Hands-on experience in programming languages such as R or Python

- Familiarity with bank stress testing including loss and risk estimation techniques is preferred

- Ability to balance multiple priorities and drive upwards communication to manager and stakeholders on complex issues

- Ability to work under tight deadlines and fast paced environments as well as thrive under pressure

- 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