Economic Risk Capital (ERC) Non-Position Risk (NPR) Senior Modeller # 120516

Credit Suisse -
London, United Kingdom
Jun 12, 2019
Jun 28, 2019
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
We Offer
The Risk Division is a highly visible, dynamic area of the firm where you can be an integral part of the decision making that supports the bank's business. Our responsibilities range from Enterprise Risk management to risk and finance reporting, and regional risk teams covering the risk management for our entities. The Risk division's long-term success depends on our ability to achieve our vision and fulfil our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and encourages leadership at all levels.

We Offer:

The Economic Risk Capital (ERC) methodology team is part of global Portfolio Risk Management (PRM) department in the Enterprise Risk Management (ERM) area. This role provides an opportunity to play a central role in the development of a 'best in class' Economic Capital model.

Our team is responsible of developing the methodology for many components of the bank's Economic Capital model. The responsibilities of the candidate would include:
  • Understanding the Economic Capital (ERC) measure and its various components
  • Developing, enhancing and maintaining economic risk capital models (e.g. Pension risk, Business/Expense risk, FX Translation, Own Real Estate, etc.)
  • Proactively seek solutions to improve material parts of the model; review and improve component; identify the relevant sources of risk and assess their capture
  • Researching alternative methodologies, and comparing them; justifying and test the chosen option
  • Ensuring that the models adhere to internal and external policies/guidelines and pass model validation
  • Documentation of the models following internal and external standards (e.g. validation, SR 11-7), also ensure models are BCBS 239 compliant
  • Collaborating with quant developers and IT analyst to implement changes to the model
  • Establishing processes to monitor the models to ensure they remain fit for purpose
  • Presentations to senior management ensuring that model risk, technicalities, change impacts etc. are well understood
  • Support embedding ERC into critical management processes of the firm, including financial planning, strategic planning, risk appetite setting, assessment of new businesses/material trades, and ultimately performance management
  • We want you to contribute your strong interpersonal skills to our team

Open to discussing flexible/agile working.

You Offer
  • Experience in methodology development projects, or a quantitative risk measurement role in a financial institution
  • Experience in Treasury risk, IRRBB, PPNR/CCAR, etc. modeling is desirable; previous Economic Capital experience is desirable
  • Previous experience in leading methodology development projects and supervising quantitative analysts would be an advantage
  • A candidate with degree in Statistics, Econometrics, Data Science, Quantitative Finance, or Financial Engineering is preferred; accounting knowledge is desirable
  • Professional qualification e.g. FRM, PRM, CFA, CA, CQF would be an advantage
  • Python, VBA, R or SQL knowledge is an advantage
  • General knowledge of risk issues and investment products
  • Experience in methodology documentation is highly valued
  • Ability to work well in a global team, manage work and build relationships
  • Positive attitude, good communication, presentation skills
  • Ability to produce high quality, accurate work, under pressure and to tight deadlines
  • Willingness to take responsibility, challenge the status quo and ability to provide alternative solutions

Credit Suisse is committed to providing equal employment opportunities, regardless of ethnicity, nationality, gender, sexual orientation, gender identity, religion, age, civil partnership, marital or family status, pregnancy, disability or any other status that is protected as a matter of local law.

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