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We Offer Credit Suisse (CS) is in the process of developing its regional legal entity focus to complement its existing global product focus. CS's Credit Risk Management (CRM) department within the Chief Risk Officer (CRO) division manages the bank's exposure to its counterparties in order to protect the bank from outsized credit losses. CRM is also responsible for credit risk stress testing methodology and results in the context of internal as well as regulatory requirements and expectations.
Within the Credit Analytics team in CRM, Credit Suisse is looking for a Vice President to lead design, development, implementation and operations of credit risk models in support of regulatory stress testing such as Comprehensive Capital Analysis Review (CCAR) and Dodd-Frank Act Stress Test (DFAST), BASEL related regulatory requirements, and Business As Usual (BAU) credit risk management. This role will assist the Head of CCAR & Basel Credit Risk Modelling to lead a team, part of which is based in India to take care of the whole life cycle of the relevant models and to manage in the process various business partners such as Credit Risk Management, Model Risk Management, Front Office, CCAR Central Team and Internal Audit etc..
Specifically, responsibilities are:
You will lead the design, development, implementation, and improvement to stress testing methodology used for CCAR/DFAST, particularly on the areas of wholesale and retail credit losses and counterparty default losses etc. and ensure compliance with both US regulators and Group wide stress testing policies. Support model governance and internal auditing for routine model maintenance and ensure compliance with relevant regulatory requirements such as SR 11-7, SR 15-18 and SR 15-19 etc., and internal processes, policies and guidelines.
Own the stress testing systems, processes, controls, executions, results and other aspects and artifacts meaningful to the official CCAR/DFAST submission. Particularly, you will be responsible for providing analysis including sensitive analysis etc. in support of the validity of the stress testing results, for presenting the results to risk managers, senior management and review and challenge committees etc.. Also, you will support senior management for regulatory engagements associated with regulatory stress testing.
Lead the design, development, implementation and improvement of credit risk models meaningful to Basel, particularly Incremental Risk Charge (IRC), and Internal Rating-Based (IRB) Approach in support of Securitized Products business relevant to residential and commercial mortgage backed securities, auto loan and lease receivables, student loans, credit card and other consumer loans etc.. Support relevant model governance, and regulatory engagements for approvals and changes, and support model operations in BAU risk management.
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook.
You have around 10 years of experience with credit risk modelling in areas of Securitized Products, Counterparty Credit Risk, Wholesale and Retail Credit Risk.
You have deep knowledge with relevant products and market segments, familiar with industry standard approaches to relevant quantitative modelling and familiar with regulatory requirements.
You have previous experience of leading a quant team, previous experience of working with securitized products, and previous CCAR/DFAST experience is strongly preferred.
Do you have a Master's/PhD degree in a quantitative discipline?
You are highly efficient with R or Python, and experience with database is preferred.
You have the ability to work under tight deadline and high pressure environments.
You have strong communication skills - ability to present effectively complicated modeling concepts and techniques to senior management.
Internal Number: 6191688
About Credit Suisse
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