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We Offer The Capital Adequacy and Stress Testing team is building its stress testing and overall risk capabilities to meet an evolving regulatory environment in the US to address requirements such as CCAR 14Q Trading, 9Q RWA/VaR projection and GMS/stress testing for Market Risk. The candidate will work in a team of risk analysts responsible for regular and ad-hoc stress analysis of portfolios across CSH USA, track key risks and bring up potential risk issues to senior management on a timely basis. This team is looking for an Assistant Vice President/ Vice President (AVP/VP) who is familiar with the risk assessment for financial products like Interest Rates, FX, Equities, and Fixed Income/Credit. This opportunity will support the execution and improvements of stress testing, VaR projection and the Federal Reserve's Comprehensive Capital Analysis Review (CCAR) requirements. It will also be responsible for the design, planning and implementation of changes to the above functions.
Understand the Market Risk Framework used at Credit Suisse
Work with Lines of Business to understand key risk drivers in particular financial products, and conceptualize improvements to the modeling methodology for VaR projection and stress testing
Lead and Handle design, implementation and testing of changes in conjunction with senior management including Risk Managers and Front Office.
Present stress testing results to senior management
Review and help prepare Business Requirement Documents for IT for Risk deliverables
Work with model validation teams to get the related models validated
Understand the different asset classes like credit, equity, securitized products, rates etc within the context of stress testing and VaR projection
Delivery of CCAR/DFAST stress testing and projection results including running the projection models in production, analysis and preparation of materials for senior management, the Board and the Regulators
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 Conduct and Ethics Standards.
At least 3 - 8 years of experience with Market risk modeling, time series methodology or stress testing & scenario analysis.
A Master's/PhD degree in a quantitative discipline preferred!
Outstanding Knowledge of Products (securitized products, equity, credit or rates) and their risk characteristics or modeling
Experience with VBA and/or other scripting languages a plus!
Proficient with statistical tools and risk management tools
Excellent written and verbal communication skills - ability to present complicated modeling concepts and techniques to senior partners clearly and visually.
Understands the value of diversity in the workplace and is dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work. This should be further elaborated on in your application.