Capital Stress Testing (CCAR) Market Risk Modeler - VP #104543

We Offer
The Market Risk Modeler is a role within the CCAR program, working under the Head of the Challenger Team. The primary responsibilities include developing CCAR Challenger models, leading junior modelers, and collaborating with any vendors supplying inputs in the development of Credit Suisse's models. This model development role encompasses the modelers' role throughout the entire model lifecycle, and includes, but is not limited to:
  • Working with market risk managers, market risk model developers, front office valuation modelers, CCAR model developers, and the Lines of Business, to define the modeling scope, and to identify challenger or benchmark model requirements
  • Formulating, estimating, testing, and implementing models
  • Assessing the reasonableness of CCAR Champion results by using Challenger models, examining the impacts of modeling issues in the Champion models, or in their underlying assumptions
  • Writing technical model methodology documentation, as well as analytical assessment documents
  • Interacting with Model Risk Management during model validation
  • Assisting in any BRDs (Business Requirement Documents) needed to meet implementation requirements
  • Participating in review and challenge sessions
  • Assisting functional model owners, as well as Model Risk Management, in ongoing model performance monitoring and review
  • Leading or working with modelers to maintain and redevelop CCAR Challenger models as necessary


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




You Offer
  • You are an expert at developing methods and tools to assess the reasonableness of CCAR Champion model results
  • Document model methodology and related processes
  • You will develop tools to facilitate testing, as well as ongoing performance monitoring of models
  • Develop and execute ongoing maintenance of CCAR models for instantaneous loss (i.e. trading mark-to-market loss, trading issuer default loss, counterparty default loss, credit valuation default loss) and 9Q market risk RWA projections (i.e. VaR/SVaR, Standardized Specific Market Risk (SSMR), and the Simple Supervisory Formula Approach (SSFA) for securitized products)
  • You will supervise internal teams of junior modelers
  • Collaborate with internal and external teams responsible for oversight, development, implementation, and review of projections models
  • You will liaise with CSH USA's independent model review and validation function

Requirements
  • You have acquired at least four years of risk management, valuation or risk model development, econometric modelling or risk analysis experience within the financial industry, preferably with prior CCAR / stress-testing experience
  • You have achieved a Master's degree in a quantitative discipline (Economics, Mathematics, Engineering, Statistics, Physics, etc.). A PhD in these disciplines would be advantageous
  • You have advance proficiency in R, Excel, and VBA. Additional experience with similar tools, such as Matlab, SAS, Stata, and SPSS would be beneficial
  • You possess excellent written skills, the ability to compose well-structured technical model methodology documentation
  • You can demonstrate excellent verbal communication and presentation skills, ability to engage in concise, effective discussions
  • You are comfortable implementing models in R, and carrying out tactical software development to interface with existing technology/modeling infrastructure
  • Visa eligibility to work in U.S