- Raleigh, NC, USA
- Permanent, Full time
- Credit Suisse -
- 18 Jan 19
Risk Appetite - Models & Methodology # 118195
GM/IBCM/CUSO Risk Appetite (RA) is responsible for setting overall risk limits for Global Markets, Investment Banking and Capital Markets, and Consolidated U.S. Operations within Credit Suisse. The team's focus is an integrated approach (partnering with Financial, Capital, and Business planning) that ensures a consistent and coherent approach to risk-taking that carries out senior management's strategic vision. RA staff regularly discusses issues with senior staff across PC, CFO, COO, and CRO, and are expected to understand theoretical risk issues, mechanical details of calculations, and pragmatic business considerations. The RA team also works closely with both business-aligned risk management teams, the Enterprise Risk and Portfolio Risk teams, and Risk Appetite teams around that globe that cover other parts of Credit Suisse.
- ENO/Staff position within Risk Appetite's Models and Methodology team
- You will understand the various models used to measure & handle risk, including VaR, ERC, Scenario Loss, and PPNR models
- Perform calculations of pro-forma impacts of methodology changes, and highlight potential issues to senior management in advance
- You will work with Portfolio Market Risk team to understand drivers of measured risk usage and assess impact of future business activity
- You will support discussions with business partners by developing clear presentation materials supplemented with thoughtful analysis
- Develop and improve what-if capabilities and frameworks to support analysis of limit affordability and calibration
- You will develop presentation materials for high profile meetings, including Board of Directors and Fed meetings
- Work with central methodology teams located in other business centers to ensure that GM/IBCM/CUSO needs are met
- You will support development of new and improvement of existing models, calculations, and frameworks to more accurately measure risk
- Answer questions from business partners, and help identify areas where existing or proposed models do not accurately reflect GM/IBCM/CUSO's business mix or market realities
- Collaborate with other team members to address issues both in RA and the wider Enterprise Risk team
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook.
- You have quantitative degree and affinity for problem-solving and out-of-the-box thinking
- You have excellent computer skills: Excel at a minimum, some programming preferred
- Do you have interest in key investment banking products and capital markets?
- Do you have the willingness to learn from experts in the firm about risk measurement frameworks, VaR, scenario loss models, and other tools for quantitative measurement of risk?
- Are you able to work independently, under pressure and within very tight deadlines?
- You have excellent communication skills in English (both verbal and written)
- Do you have a well-organized and keen to details approach to your work?