Model Risk Management - CCAR Validation # 102492

We Offer
The successful candidate will:
  • Be expected to lead and manage independent validation reviews across a wide range of Scenario, Stress Testing and CCAR models used throughout the bank, meeting business needs and regulatory expectations, with responsibility for investigating key aspects of each model under review: choice of modelling approach, the underlying assumptions and associated limitations, performance and optimal use of the model, etc.
  • Review, verify and validate stress testing models for theoretical soundness, testing design and identification of model weaknesses, ensuring ongoing monitoring, as well as contribute in the firm-wide model risk and control assessment.
  • Be expected to demonstrate independence in planning and stakeholder engagement, testing design and execution, results interpretation and presentation, and the production of documentation strong enough to evidence a sound challenge to both internal and external parties.
  • Create model risk reports, including authoring and presentation of validation reports for the attention of senior management, supervisory authorities, and model stakeholders.
  • Represent the bank in interaction with US Regulators, as required.

The truly global scope of model risk means that this role will involve working with an incredibly broad group of stakeholders from every part of the firm, investigating model risk and model governance standards and performing detailed validation of CCAR models.

Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook.

You Offer
Essential:
  • Candidates for the role in the MRM team are expected to hold a first degree in a quantitative discipline, e.g. Mathematics, Physics, Engineering, Finance, and preferably a Masters or PhD.
  • Extensive experience in financial modeling and/or model validation, ideally in statistical and time series models is required. This may have been acquired in stress testing model, but also in collateral or behavioural models as well as PD / LGD / EAD models.
  • Client focus and the ability to communicate effectively with senior stakeholders (internal, external, Regulators), including the ability to explain complex topics to a diverse range of audiences.
  • Experience of managing/leading teams, ideally in the context of model validation and/or financial modeling.
  • Self-motivation, discipline, task focus, the ability to structure and present work and a proven record of delivering high quality results to strict deadlines.

Desirable:
  • Experience in validation of CCAR / stress testing models, preferably across the model types of PPNR, balance sheet, loss and RWA projections as well as models used in the market shock / GMS part.
  • A general understanding of global regulatory requirements is desirable to be a credible counterpart given the huge and challenging variety of models in scope.
  • Good knowledge including programming experience of software applications such as R, Matlab, SQL and SAS.