Counterparty Credit Risk Analysis and Reporting, ENO
Credit Suisse is a leading global wealth manager with strong investment banking capabilities. Headquartered in Zurich, Switzerland, we have a global reach with operations in about 50 countries and employ more than 45,000 people from over 150 different nations. Embodying entrepreneurial spirit, Credit Suisse delivers holistic financial solutions to our clients, including innovative products and specially tailored advice. Striving for quality and excellence in our work, we recognize and reward extraordinary performance among our employees, provide wide-ranging training and development opportunities, and benefit from a diverse range of perspectives to create value for our clients, shareholders and communities. We are Credit Suisse. We Offer
We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards
The Risk and Finance Data Provisioning - Capital (RFDP-Capital) group comes under the RFDAR which validates credit risk exposure variances for daily, monthly and adjusts exposure for CRM and for the purpose of regulatory RWA and Capital reporting to PRA, Fed and FINMA. Key Responsibilities
- Seek to validate credit risk exposure calculation at a counterparty and a portfolio level across various business divisions like Private Banking, Prime Brokerage, ETFO, OTC Derivatives, FX, Repo, SLB, from regulatory perspective
- Validate end-to-end data flow and functioning logic of our proprietary Credit Risk Management tool
- Ability to re-compute credit risk exposures for data quality or methodology issues
- Analysing Potential Exposure/Expected Positive Exposure of traded products and provide qualitative commentary for Day on Day, Week on Week and Month on Month exposure moves
- Demonstrating Ownership of Potential Exposure & Expected Exposure outputs by analysing the same for Potential Exposure analysis, Default Risk RWA, CVA RWA
- Seek and facilitate resolution of issues leading to anomalous Exposure values and calculation of indicative exposures by using advanced simulation tools and models for factor based, sensitivity based (Historical simulation) and Monte Carlo (Taylor series approximation and/or Partial revaluation) risk calculators
- Dedicated to developing practical solutions to regulatory requirements for Capital related reporting
- Coordinating with various business partners - Credit Analytics, Capital Reporting, Reporting of Credit Risk, Credit Risk managers, data suppliers and process teams responsible for key data sources and processing
- Understand the value of diversity in the workplace and are dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work.
- Outstanding analytical and problem solving skills to identify the scope of issues and ability to provide appropriate solutions
- Ability to handle challenging conversations and time critical deliveries
- Good knowledge of financial products across various asset classes
- Proficient in life cycle of a trade and risk management concepts
- Knowledge of Leverage-Ratio, IOSCO, SACCR, Standardized approach, Shortcut approach
- Proficiency of regulatory risk topics such as PE, RWA, EPE & EE from Basel 3 regulations perspective.
- Proficient in Limits monitoring, Basel3 regulations along with Margining, Wrong way risk, CCP default waterfall, Treatment of Re-securitised collateral, Shortcut Exposure Method, IOSCO, Capital Buffers, Leverage-Ratio in counterparty credit risk space is a must.
- Ability to work with large volumes of data using spread sheet and Database Query tools (MS Excel and Access)
- Proficiency of Impact of sensitivities change on derivatives portfolio valuation
- Work experience in the output of finance and risk systems
- Driven with a strong personality to move forward both existing processes as well as the related projects in parallel to each other
- Written and verbal communication skills including the ability to build positive relationships with business partners
- Prior experience of working with counter-party credit risk systems with Machine learning platforms is plus
- Result oriented, dedicated, hardworking and can work on own initiative whilst also delivering on time with a high level of integrity and flexibility, sense of urgency, attention to detail and quality standards
Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.