Credit Suisse - Risk Modeler - Quantitative

Job Description:

- Enterprise Risk APAC intends to outsource - APAC CRO Enterprise Risk Management- function from CS Services AG, Singapore Branch to Credit Suisse Business Analytics.

The team will perform the following tasks:

Risk Identification

- Support collation of material risks identified by the annual risk polling exercise.

- Preparation of high-quality presentations for a diverse audience from senior risk management to key support departments

- Identify a complete list of risks, and clearly specify which risks have not been captured in stress tests, and quantify impacts of those risks considered material.

Risk Appetite

- Prepare Risk Appetite Dashboard and perform Risk analysis (divisional and legal entities level) for the purpose of relevant measures.

- Summarize weekly market commentaries for Risk Management Committee (RMC) report and support consolidation of Group Risk Report.

- Conduct deep-dive analyses and annual review of risk appetite on key APAC legal entities.

- Recalibrate/simplify the Risk Appetite Framework and Statement, ensuring linkage to the short and long term strategic objectives

- Optimize Pre-tax income (PTI) return on economic risk capital (ERC)

Stress testing :

- Review monthly divisional and country stress scenarios results that are used for APAC and key legal entities RMC.

- Understand macro-economic developments and how they impact the APAC portfolio

- Liaise with other risk departments (credit, market, operational) with an aim to provide holistic risk analysis

- Assist in scenario design and stress testing, including the development of prototypes on spreadsheets

- Understand and explain Group stress tests include Group's Severe Flight to Quality (SFTQ) scenarios

- Enhance APAC Division and Legal Entities stress testing capability through inclusion of non-position risks (liquidity, operational, capital, regulatory metrics), develop an additional macro scenario, establish ad-hoc stress testing and build liquidity stress testing (Barometer 2.0/3.0) to capture divisional portfolio nuances

Inflection Point Indicator :

- Develop early warning indicators to monitor our major risks.

You Offer:

Quantitative Degree Candidate ;

- A Ph.D., Master or Bachelor degree in a quantitative discipline (Economics, Mathematics, Engineering, Statistics, Physics, etc.) is preferred.

- Advanced proficiency in one or more programming skills such as R, Python, SQL, Excel, and VBA

- Excellent written skills, ability to compose well-structured model and methodology technical documentation

- Excellent verbal communication and presentation skills, ability to engage in concise, effective discussions

- Comfortable implementing models and carrying out tactical software development to interface with existing technology/modeling infrastructure

One or more experiences in the followings are preferred:

- Quantitative modeling in risk management, econometrics, financial forecasting, and regulatory and economic capitals.

- Stress testing and scenario analysis across key risk types (market risk, credit risk, liquidity, and operational risk)

- Risk limit setting

- Design or implementation of Risk Appetite Frameworks

- Strong product knowledge across a diverse range of products

- Excellent understanding of capital modelings such as regulatory capital, economic risk capital and risk-weighted assets (RWA)

- Dealing with regulators or regulatory issue