Credit Suisse - Market Risk & Liquidity Management Role - CVA Capital

Market Risk & Liquidity Management Role - CVA Capital

Introduction:

MLRM team is group of risk managers, who liaise with different stake-holders, in risk management process, like Traders, Quants and Scenarios for setting up and maintaining risk appetite of individual cluster and bank as a whole through:

- Limits Management including approvals

- Risk, CVA and Market RWA and VAR Sign off

- Business scenarios and regulatory stress analysis

- Pre Trade Approval ( PTA)

- Model Risk and Methodology Review

- Exposure Impact Rus

- Projects

Apart from standard risk management function a candidate is expected to develop a deep understanding of the underlying risk infrastructure, coordinate with different teams in setting up different system which helps in signing off risk, limits and scenarios as per given requirement .

Skill set required:

- Business knowledge: Knowledge of counterparty credit risk concepts including CVA/DVA/FVA/RWA pricing at portfolio level. Knowledge of EPE/ENE/EE profiles, Capital Optimization and MTM grid generation. Drivers for portfolio exposure and underlying risk factors including cross risk.

- Product Knowledge: In-depth understanding linear and non-linear products like Futures, Option, Swaption, IRS, Bond, CDS etc. Deep understanding of Option Greeks and its underlying dynamics.

- Technical Knowledge: High level understanding of MS Excel, VBA coding. Knowledge of basic statistical concepts like correlation, regression would be an added plus.

- Soft skills: Risk Managers need to work with different teams. Excellent written and verbal skills are expected.