Following from the events of the financial crisis, we are looking for an outstanding individual who can shape the future suite of risk models needed to conduct cutting edge business, in particular within the changing regulatory landscape.
THIS ROLE INVOLVES: The Head of Risk Methodology manages the Risk Methodology team of 9 analysts on a day-to-day basis and has the following responsibilities: • Provide the general direction for all risk modelling across different business areas and ensure consistency and completeness of approaches • Ensure that the performance of the risk models is adequately measured and monitored • Ensure that each risk methodology analyst is set the right priorities in conjunction with the respective Risk Managers and provide guidance for the analysts • Ensure that regulatory rules are correctly interpreted and followed • Extensive liaison with regulatory bodies around the globe
RMQA is the quantitative team in the Strategic Risk Management department within the Investment Bank (SRM-IB) and deals with the methodology and quantitative issues relating to market risk. It is made up of two sub-teams:
•Risk Methodology, being responsible for the development and specification of the quantitative methodologies used for measuring market risk including VaR. This group is also responsible for ensuring completeness of risk capture in VaR or otherwise, as well as the ongoing performance of the VaR model. •Model Validation, being responsible for independent validation of the front-office models used by the firm for P&L and risk sensitivity reporting purposes. It is also a major participant in inter-departmental Model Valuation Working Groups which discuss and address current important valuation issues in the firm.
The SRM-IB department is organised in a matrix structure, with horizontal reporting lines by teams (e.g. Risk Methodology or Model Validation) and with close vertical business alignments. As such each risk methodology analyst reports into the Head of Risk Methodology but is also aligned to a particular business area and is required to provide quantitative support to any needs identified by the Cluster Manager or the Strategic Risk Manager.
Qualifications:
Bachelors Masters
Experience:
10 years +
Languages:
English : Speak / Write Fluently
Job-Type:
open-ended
Remuneration:
unspecified
Permit Type:
EU National
Region:
London
• Second degree in a numerical subject • Extensive experience in risk modelling at a top-tier investment bank across a range of different asset classes • Must be an excellent communicator to be able to explain complex risk models to senior management as well as to regulatory bodies • Acute attention to detail even when under pressure and be able to produce high-quality work for regulatory submissions • Good knowledge of regulatory rules
Credit Suisse Group is a world-leading financial services company, advising clients in all aspects of finance, around the world, around the clock.
