AVP VAR
Overall goal Main responsibilities and key tasks
- Lead a team of analysts supporting the Credit Suisse reporting (including VaR, Position Risk, ERC and sensitivities), limit monitoring and backtesting preparation.
- To review final output before sending to London team members or end users of the reports. Review meaning ensuring there are no errors and any discrepancies are fully explained
- Work with the reporting team to improve efficiencies across reports and analytical tools as well as the development of further tools.
- Drive the career development, and training, of junior staff
- Face off to key stakeholders across SRM, RAR, Risk IT and Finance
Credit Suisse VaR Reporting:
- Core responsibility is to prepare daily reports covering Value at Risk and exposure across various cuts of the trading and lending portfolios, and the various business lines
- Calculate regulatory capital for Credit Suisse and key legal entities
- Information is also provided to regulators, rating agencies and other relevant third parties on a periodic basis
Credit Suisse ERC
- Calculation and reporting of CS Group Position Risk ERC (99%), including analysis of portfolio changes and ERC composition over the reporting period
- Sensitivities Reporting
- Production and distribution of market risk reports including investigation and analysis of exceptions, data integrity and methodology issues
- Reporting and performing validation checks on VaR movements. This will involve evaluation and analysis of market risk exposures by employing statistical and other approaches.
- Ensure that the risk reports are accurate and complete along with the implementation of improved controls.
- To participate in the roll out of enhancements in risk systems, processes and data feeds.
VaR, ERC, Exposure Sensitivity Limit Monitoring:
- Key constraints for the business
- Daily monitoring of VaR, ERC, Exposures and Sensitivities against limits globally across all Credit Suisse business lines
- Reporting of and explanation of limit violations to senior management; Escalation and resolution of limit breaches
Backtesting:
- Comparison of PL against the VaR by business line, division and for Credit Suisse (repeated for a number of key legal entities.
- Liaising with PL team and business line risk managers to explain exceptions
Control tasks
This is a key risk control process.
Training / experience
Role would suit a strong analyst with good Excel skills. Would require a number of years in financial markets and risk management experience.
Decision-making powers
Ability to work independently, and escalate issues appropriately.
Information to the established team
Role is part of the Credit Suisse Chief Risk Office (CRO) teams covering sensitivities and VaR/ERC Reporting teams
Soft skills
- Proven managerial skills;
- Good communication skills; Attention to detail;
- Strong control mindset.
- Strong analytical skills
- Ability to quickly understand concepts and breakdown problems.
- Ability to develop relationships with internal clients globally
Development potential
- Opportunity to develop and enhance tools for risk reporting group. Analysis of results needed which would increase exposure to risk management function.
Work experience
(Industry / years)
A number of years of experience in financial markets and risk management.
Managerial experience
(Industry / years)
Management of junior staff and processes would be required.
Project experience
(Industry / years)
Not a prerequisite.
General remarks
Need somebody who can manage a team of junior staff, who understands the basics of the value at risk model and has experience of overseeing a reporting platform.
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