CCAR - Scenario Design Specialist

This role is based in New York. It lies within the US Scenario Design team and has a dual reporting line to the US CRO CCAR function and to Global Enterprise Risk Management (ERM). The US CRO function is responsible for managing all risks that arise out of the US entity. The Global Scenario Design ERM team is based mostly in London and is responsible for designing and calibrating stress testing scenarios across CS Group as well as key legal entities.







Stress-testing is one of the fastest-growing and critical areas of the Risk organization. It is viewed internally within Credit Suisse as a key risk management/business planning tool and not just as a regulatory requirement. The successful candidate is expected to take this one step further and better integrate scenario results with decision- making processes of senior management (Risk, Finance and Front Office).







The successful candidate will be responsible for leading the expansion from a set of core variable projections to a much broader set of economic and financial variables. These variables will be associated with a range of forward- looking stress scenarios that cover all risk types in the bank's US portfolio. The expansion will be needed for both nine-quarter projection periods and sudden market shock scenarios.







The candidate will be responsible for using mathematical expansion models, assessing the modeled outputs for reasonableness and explaining the mathematical basis of the modeled outputs to risk managers. The expansion process should meet regulatory stress- testing requirements of the US Federal Reserve and adhere to the best practices in the scenario expansion governance process.







This role offers high exposure to senior management and requires a seasoned risk professional. The key stakeholders will be US regulator (the Fed) and senior management within CS; in particular, CROs, Front Office, Research and Finance.







Key Responsibilities:



  • Understand key portfolio vulnerabilities in the US portfolio and use models to calibrate detailed / granular scenario shocks relevant to those vulnerabilities.

  • Understand stress testing modeling methodologies applied across risk types to calibrate scenario shocks.

  • Coordinate across risk / business / finance / research teams to ensure appropriate scenario granularity.

  • Justify and present scenario calibrations to senior management seeking sign-off.

  • Understanding of traded risk and capital markets.

  • Experience with stress testing, in particular, with using mathematical models for scenario calibration / expansion and explaining modeled outputs to key stakeholders.

  • Knowledge of key investment banking products and experience interacting with business and risk managers.

  • Excellent understanding of financial modelling with a solid quantitative background.

  • Good understanding of risk measurement frameworks would be an advantage.

  • Knowledge of statistical packages would be preferred but not essential.

  • Prior experience of developing and running scenario analysis methodology at portfolio or group level would be beneficial.

  • Excellent communication skills in English (both verbal and written).

  • *LI-CF1*



  • Understanding of traded risk and capital markets.

  • Experience with Stress Testing, in particular, with using mathematical models for scenario calibration / expansion and explaining modeled outputs to key stakeholders.

  • Knowledge of key investment banking products and experience interacting with the business and risk managers.

  • Excellent understanding of financial modelling with a solid quantitative background.

  • Good understanding of risk measurement frameworks would be an advantage.

  • Knowledge of statistical packages would be preferred but not essential.

  • Prior experience of developing and running scenario analysis methodology at portfolio or group level would be beneficial.

  • Excellent communication skills in English (both verbal and written).