Market Risk Manager
Credit Suisse
Mumbai, Mumbai, Inde
10d ago

Market Risk Management :

The MLRM UK Scenarios team is responsible for producing the quarterly ICAAP / FDSF Pillar 2A Illiquids submission to the UK regulator, the PRA.

The team also produces the ICAAP Pillar 2B Market Risk Stress Loss Scenarios which measure the losses against potential economic / geopolitical events which adversely affect Credit Suisse Market Risk positions.

Additionally the team is involved in a variety of adhoc analyses in response to queries or requirements from the regulator.

Key Responsibilities :

  • ICAAP 2A Illiquids Submission
  • Analyzing illiquid scenario PL Vs pillar 1 capital, understanding drivers of results and changes.
  • Liaising with multiple asset class clusters to coordinate and validate scenario PL
  • Discussing and challenging the results with cluster leads.
  • Preparing the submission to the PRA (excel template and document)
  • Review concentration risk thresholds for appropriateness
  • Review of existing capital mitigates in the Illiquids framework
  • Coordinate with risk area clusters on scenario design as per the feedback from PRA
  • FDSF Illiquids submission is on a quarterly basis with a T+20 life cycle
  • ICAAP submission is on a semi-annual basis.
  • ICAAP 2B Market Risk Stress Testing
  • Involvement in monthly / quarterly ICAAP 2B Market Risk Scenarios submission
  • Liaising with multiple asset class clusters to coordinate and validate scenario PL
  • Working with MLRM clusters and group ERM on revised methodology proposal
  • Development, implementation and testing of revised ICAAP 2B methodology.
  • You Offer

  • 2- 3 years of experience
  • Degree or above in a quantitative or economics / finance related background
  • Strong written and communication skills
  • The candidate should have excellent knowledge of market risk with experience in at least two asset classes.
  • The candidate should have strong knowledge of risk management tools and analysis, eg. VaR, SVaR, etc.
  • The candidate should have good hands on experience of explaining market risk models and related risks, their limitations etc.
  • The candidate should have good fundamental knowledge of markets and their implication on market risk management.
  • The candidate should have experience of scenario design, analysis etc.
  • The candidate should have some knowledge of regulatory capital, internal capital etc.
  • Good presentation skill, strong analytical skills, good interpersonal skills
  • Strong focus on due diligence, details and descriptions
  • Ability to interact with senior stakeholders for sign-offs, discussions regarding methodology, etc
  • IT skills : VBA, SQL, R desirable Numerate degree essential (incl. Advanced Math, MFE, etc.)
  • Additional certifications such as CFA,FRM preferred
  • Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.

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