Credit Suisse Hiring for Capital Risk OTC (Post-calc) AVP at Pune, India Full Time

Demonstrating a good understanding of the underlying risk measures, exposure computation methodologies and underlying system and data flow, the candidate would additionally have managerial responsibilities. The role would require the candidate to build and demonstrate expertise for the risk measures validations, expo-sure analysis and reporting across products and regulators (FINMA, IHC, PRA, CNMV). New processes and calcs are onboarded per regulatory or internal requirements. Lead will also manage the key Change initiatives from functional impact standpoint. The role aims to provide a very good understanding on various aspect of Credit & Capital Risk, regulatory aspects and Change initiatives. Functional Responsibilities: • Execute the EMA book of work – Delivery of Basel III credit risk exposure moves analysis for RWA and Capital reporting to the key stakeholders. • Understand end-to-end data flow and functioning logic of our proprietary Credit Risk Management tool • Effective design of root-cause analysis methods for exposure movements to ensure minimum turnaround time • In instances where data/methodology issues are identified, strive for strategic resolution, and coordinate the prioritization of remediation work with partner teams, with a view to reduce number of tactical adjustments. • Provide indicative estimates of VaR, PE, EPE profiles to Financial Accounting, RWA management and Front Office business teams when the risk engine fails to capture exposure profiles accurately, 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 • Actively participate in working group/steering committees of key regulatory projects to understand exposure impacts and plan accordingly for future potential workstreams Managerial Responsibilities: • Preparation and communication of KPIs for EMA, and authoring of information packs as required • Manage efficient resource allocation to ensure optimum turnaround time to stakeholders • Manage escalations and stakeholders promptly through coordination with various partners and team members as required to ensure a prompt resolution • Ensure process documentation and updating knowledge/training documents • Maintain team training plans and ensure knowledge sharing amongst team members • Manage attrition levels and develop senior members’ skills to mentor new hires • Build strong relationships with stakeholders and manage their expectations • Maintain the highest standards of professionalism and principled behavior and be a role model to your team Your future colleagues The role sits within Risk Data Management organization. The team is responsible for validating, analyzing, explaining, and adjusting various Credit / Capital risk measures – Potential Exposure (PE), Expected Positive Exposure (EPE), Exposure at Default (EAD). The team is ultimately responsible for ensuring accuracy and time-liness of the deliverables to the downstream consumers across Credit (CRM) and Capital (BMR – Basel Measurement and Reporting, Market Risk Management (MRM) and the Front Office Trading Businesses. • Exposure Moves Analysis (EMA) team validates and explains credit risk exposure variances for Investment Banking trading portfolios at agreed frequency for regulatory RWA computation and Capital, Leverage & ICAAP reporting to PRA, FINMA and Fed/IHC. If required risk measures are adjusted. • Exposure Queries Analysis – conduct analysis of queries raised by stakeholders – all users of Cred-it/Capital Risk Exposure – to support the validation of exposure from methodology and data flow standpoints and strategic remediation of gaps, if any. • Scenario Exposure Analysis (SEA) function involves analyzing counterparty Credit Scenario expo-sure moves on a monthly basis, providing commentary on valid moves & adjusting any incorrect strategically calculated exposure for both FINMA & PRA B3 reporting. Apart from this, the analysis on Scenarios RWA is used to determine the Credit Suisse’s capital requirements in stress situations. Innovation: Additionally, organization has invested in building out an enterprise scale platform by marrying a set of capabilities – data analytics, machine learning, visualization & work – flow to reduce human intervention for various manual activities to the extent feasible. This has shaped up well. 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 cultural values. We are looking for candidates with the following qualifications: ESSENTIAL § Post-Graduate in Finance/Statistics/Economics/Sciences/Engineering/Mathematics § 6-8 years of work experience in Credit Risk or related control function, with strong knowledge of derivatives and good understanding of Risk management tools and techniques § Strong analytical skills to identify the scope of issues and ability to provide appropriate solutions § Strong knowledge of derivatives § Good knowledge of risk management principles and risk measurement methodologies § Ability to work around complex data systems. Strong problem-solving skills § Strong presentation and communication skills, especially with stakeholder groups, including senior management face-off § Stakeholder management experience DESIRED § Strong people leadership experience Dedication to fostering an inclusive culture and value diverse perspectives Job: Risk Management* *Title: *Capital Risk OTC (Post-calc) AVP Location: India-Pune-Pune Requisition ID: 226585