ERC Methodology Framework

Credit Suisse
Mumbai, India
Sep 22, 2019
Sep 25, 2019
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
We Offer
The ERC Methodology team is part of global Portfolio Risk Department in the Enterprise & Operational Risk Management (EORM) area. This role provides an opportunity to play a central role in the development of a 'the best' Economic Capital model.
The team is responsible for developing the methodology for many of the components of the bank's Economic Capital model. Your responsibility would include:

  • Understanding the Economic Capital measure and its various components;
  • Develop and refine concepts to ensure ERC framework is fit for multiple purpose (Capital, performance and risk management)
  • Dedicatedly seek solutions to improve material parts of the model; review and improve component; identify the relevant sources of risk and assess their bring together;
  • Researching alternative methodologies, and comparing them; rationalizing 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.

You Offer

  • You have 1-2 years of experience in methodology development projects or a quantitative risk measurement role in a financial institution. Experience in Treasury risk, Pension risk, ALM modelling is desirable;
  • You have a degree in Quantitative Finance, Financial Engineering, Econometrics or Statistics is preferred.
  • You have professional qualification e.g. CFA, FRM, PRM, CA, CQF would be an advantage;
  • You have VBA, R, Python or SQL knowledge is an advantage;
  • You have deep knowledge of risk issues and investment products;
  • You have experience in methodology documentation is highly valued;
  • You have the ability to work well in a global team, handle work and build positive relationships;
  • You have positive personality, good communication, presentation skills;
  • You are able to produce high quality, accurate work, under-pressure and to tight deadlines;
  • You have willingness to take responsibility, challenge the status quo and ability to provide alternative solutions.

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