Credit Suisse is seeking a few Vice President level candidates to develop CCAR Challenger models and to assess Champion CCAR models. The CCAR models include market shock and credit losses across all assets, and operation risk.
Responsibilities
Assess the adequacy of CCAR models (e.g. identify model weakness; assess the model input data quality).
Build alternative CCAR models to assess the accuracy of current production CCAR models which include RWA, and losses from market, credit, operational risks.
Review and challenge model assumptions, adverse stress scenario, and procedures developed by FO, Risk, Treasury and Finance modeling teams.
Facilitate cross-functional collaboration among Finance, Business Strategy, Risk Management, Treasury and Business lines to identify, assess, prioritize, measure, communicate and quantify material risks.
Monitor macro-economic and financial markets as part of the process for designing stress scenarios that reflect the firm’s unique business activities and associated vulnerabilities
Qualification
Masters or PhD in a quantitative finance, science, engineering, economics, econometric, or computer science
Working Experiences (at Least 2 Of The Followings)
Developing CCAR models, especially related to RWA, and losses arise from market and credit shocks and operational risk.
Performing advance research in econometric and economic models
Stress testing and scenario analysis experience across key risk types (market risk, credit risk and operational risk) within the context of capital planning and Risk Appetite setting and monitoring, CCAR experience preferable
Excellent understanding of risk measurement frameworks across risk types (market, credit, concentration, illiquidity and operational risk) and within risk types (e.g. VaR, Stressed VaR and IRC within market risk)
Excellent understanding of capital concepts (e.g. available capital, capital deductions, risk-weighted assets) and balance sheet concepts (e.g. leverage ratio)
Qualitative Skills
Details, comprehensive and in depth analysis and research in order to identify all potential risk drivers, provide full justification for the choice of model, and quantify model short-comings
Ability to work in high pressure environments under extremely tight deadlines
Excellent interpersonal and collaboration skills and work across multiple teams (e.g. Front Office, Middle Office, risk managers, model developer, model reviewer, auditor, technology)
Full ownership not only on direct assignment but also to see through all dependencies and potential risks of project completion are highlighted and escalated
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