Credit Suisse - Risk Analyst - QRM

Position Objectives :

- The Senior Risk Analyst is responsible for quantifying exposures of the Bank to interest rate risk utilizing QRM. Specifically, the incumbent has the following responsibilities :

- Utilize sophisticated Asset/Liability Management Software to quantify interest rate risk exposures.

- Reconcile actual experience relative to assumptions.

- Understand all the dynamics underlying the institution's balance sheet and major lines of business.

Position Responsibilities :

- Calculate and analyze market value of portfolio equity by marking to market all assets, liabilities, and off balance sheet items using sophisticated Monte-Carlo simulation software under multiple interest rate scenarios.

- Calculate and analyze earnings sensitivity by forecasting net interest income under multiple interest rate scenarios for all assets, liabilities, and off balance sheet items using sophisticated asset/liability management simulation software under multiple interest rate scenarios.

- Check interest-rate volatility parameters, prepayment model, default model and other assumptions and explain impact of model changes on portfolio results.

- Coordinate the development and gathering of data and assumptions upon which interest rate risk analysis will be based. Assist relevant staff in developing and documenting these assumptions and evaluating them for reasonableness and consistency.

- Produce regulatory and internal risk management reports.

Position Qualifications :

- Degree in finance, accounting, or related field with at least three years of relevant work experience required. MBA or CFA preferred.

- Detailed knowledge and experience operating the QRM Asset/Liability Management System.

- Strong knowledge of financial instruments and of capital markets.

- Basic understanding of term-structure models, prepayment models & their role in valuation and risk.

- Excellent analytical skills and an ability to apply these skills across a variety of business units and products.

- Excellent communication and interpersonal skills.

- Proven teamwork is imperative.