85 days ago on tas-creditsuisse.taleo.net

Senior Market Risk Manager as Head of Modelling - Interest Rate and Net Interest Income Risk

Credit Suisse AG

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Senior Market Risk Manager as Head of Modelling - Interest Rate and Net Interest Income Risk

Senior Market Risk Manager as Head of Modelling - Interest Rate and Net Interest Income Risk # 080563
Switzerland-Region Zurich-Zürich | Full-time | Corporate Functions | 

Job ID

 080563English

We Offer
 
  • A challenging role within the MLRM Treasury Risk area focussing on models for measuring interest rate risk both in terms of earnings and fair value
  • Responsibility for the development and maintenance of models in the area of Asset and Liability Management (ALM) including replication methodologies and methodologies for measuring net interest income at risk
  • Significant contribution to the BCBS 368 program to enhance models to meet new regulatory standards
  • Close cooperation with Treasury to ensure adequacy and further development of models required to represent portfolios with client behaviour dependencies and to estimate long term income risks
  • An opportunity to take line management responsibility as the team is built up
  • A platform to share your quantitative expertise within the Treasury Risk team and represent the team in projects and working groups
  • Cooperation with colleagues across departments and regions
  • Attractive development opportunities in Switzerland and abroad

You Offer
 
  • A graduate degree in a quantitative field of study, PhD is an advantage
  • Minimum 9 years of relevant experience in a market risk-related role within a financial institution or leading consultancy firm
  • Thorough understanding of market risk methodology and it’s practical application, ideally with a specialization in ALM modelling
  • Profound quantitative and statistics knowledge and excellent modelling skills
  • Understanding of the Treasury function and portfolio replication models is an advantage
  • Line Management experience is a plus
  • Fluent in English, German skills are an advantage
  • Very good MS Office skills (in particular Excel), Programming skills, preferably in MATLAB.
  • Flexibility and ability to work independently, efficiently and accurately
  • Communicative and enthusiastic character
 
 
 
F. Zimmermann ( HLOD 13) would be delighted to receive your application.
 
Please apply via our Career Portal.
Nov 3, 2016