Capital Stress Testing (CCAR) Market Risk Modeler # 101626

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, overseeing 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:
  • You will work 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
  • You will formulate, estimate, test and implement models
  • You will assess 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
  • You will socialize Challenger models and results with functional model owners and all other critical stakeholders
  • You will write technical model methodology documentation, as well as analytical assessment documents
  • You will interact with Model Risk Management during model validation
  • You will assist in any BRDs (Business Requirement Documents) needed to meet implementation requirements
  • You will participate in review and challenge sessions
  • You will assist in functional model owners, as well as Model Risk Management, in ongoing model performance monitoring and review
  • You will lead or working with modelers to maintain and redevelop CCAR Challenger models as necessary

Role & Responsibilities
  • You will develop methods and tools to assess the reasonableness of CCAR Champion model results
  • You will document model methodology and related processes, as well as assessments of Champion model results
  • You will develop tools to facilitate testing, as well as ongoing performance monitoring of models
  • You will 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 to ensure that standards for projections model development are met
  • You will 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, and address any required remediation

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 have 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. Key skills include risk management, risk modeling, econometric time-series modelling, financial forecasting, or Monte Carlo simulation.
  • You have a Master's degree in a quantitative discipline (Economics, Mathematics, Engineering, Statistics, Physics, etc.). A PhD in these disciplines would be a valuable plus.
  • You have advanced proficiency in R, Excel, and VBA. Additional experience with similar tools, such as Matlab, SAS, Stata, and SPSS would be beneficial.
  • You have excellent written skills, ability to compose well-structured technical model methodology documentation.
  • You have 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.
  • You have visa eligibility to work in U.S.