Market Risk Manager - US Macros
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POST DATE 9/11/2016
END DATE 10/12/2016
New York, NY
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MARKET RISK MANAGER - US MACROS
CREDIT SUISSE COMPANY OVERVIEW
Credit Suisse is a leading global wealth manager with strong investment banking and asset management capabilities. Founded in 1856, Credit Suisse has expanded to be a global force employing over 45,000 people in 50 countries. With new leadership, a new strategy and a streamlined global organization, we are set for growth. We partner across businesses, divisions and regions to create innovative solutions to meet the needs of our clients and to help our employees grow. It is a high priority for us to continually invest in our employees by providing ongoing opportunities for training, networking and mobility. Join us and let's shape the future of Credit Suisse together.
Market risk analyst position in the Macro team of the Market and Liquidity Risk Management
( MLRM ) department. The candidate's primary responsibility will be to ensure that risks on linear and non-linear products are fully captured, understood and transparent to management and sufficient controls aligned with the firm's risk appetite are in place. In addition, the individual will also be responsible for validating hypothetical P&L arising from application of stress scenarios for regulatory deliverables.
- The candidate will be a part of US Macro team with an opportunity to rotate on linear (Govt, Agency, Repo, Inflation, Swaps) and non-linear (Vanilla option, exotics) providing exposure to a gamut of interest rate products as well as commodity and FX products
- The candidate will also have an opportunity to work on quantitative/data mining/modelling projects along with the BAU responsibilities
As a part of the BAU the candidate will be responsible for:
- Developing full understanding of trading strategies and potential risks of interest rate products within US Macro business;
- Performing deep-dive trading portfolio reviews to ensure that higher order risks are transparent to Senior Management and sufficient controls aligned with the firm's risk appetite are in place;
- Performing market stress scenarios in trading portfolios and validating hypothetical P&L arising from the application of stress scenarios. May involve tactical small scale simulations;
- Monitoring trader flags and desk level VaR limits and providing commentary on significant risk drivers;
- Addressing risk factor and scenario/stress gaps to ensure that all appropriate risks are fully captured in the market risk systems;
- Reviewing risk reports processed by Risk Analytics and Reporting (RAR) teams based in Singapore and London to ensure risk is captured correctly and large daily moves are explained;
- Developing relevant risk metrics beyond existing ones. Developing financial time series and preparing routine analytical reports using internal systems;
- Developing and maintaining relationships with trading desks, senior business management and primary control functions (Product Control, Middle Office, Credit Risk Management);
- Challenging existing risk / valuation methodologies and control framework providing proposals for improvement;
- Ensuring all current and potential P&L drivers are fully understood. Briefing managers on major risks and drivers of P&L, and assisting them in preparing for various risk committee meetings.
- A masters degree, typically a M.S., in business or technical field of study, such as finance, economics, mathematics, statistics, computer science or engineering.
- At least 2 years of experience in Market Risk Management, Trading, Modelling, or a related function.
- Requires ability to design or develop spreadsheets, databases, presentations and custom reports.
- Excellent MS Office skills, particularly Excel, PowerPoint and Access.
- Expertise in financial modelling is desirable.
- Good communications skills, verbal and written, are necessary. Must be able to clearly present ideas and analysis to senior management.
- Good knowledge of derivatives products, financial mathematics and modelling is essential. Advanced systems skills
including Excel/Access with VBA are beneficial.
- Be highly team-oriented and eager to learn as candidate will be joining a technical team.
- Self-confident, assertive and willing to challenge FO on risk related matters and stand by negative decisions as and when
- Solution provider and well organised as candidate might have to work on several project simultaneously.
Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.