CSSSV Market Risk and Portfolio Manager, VP, Madrid #155634
Credit Suisse
Madrid, Madrid, Spain
hace 2 días

We Offer

The Risk Division is a highly visible and dynamic area of the firm where you can be an integral part of the decision-making that supports the bank’s business.

Our responsibilities range from Enterprise Risk management to risk and finance reporting, and regional risk teams covering our entities.

The Risk division's long-term success depends on our ability to achieve our vision and fulfil our mandate. Ultimately, this depends on the skills, experience and engagement of our employees.

We offer a reciprocal and entrepreneurial environment that offers direct contact with senior management and inspires leadership at all levels.

The CSSSV Market Risk and Portfolio Management team is part of the second line of defense independent from the business, ultimately reporting into the Group CRO.

The role, in close partnership with the Global Market risk team supports the CSSSV CRO in discharging their market risk and portfolio management responsibilities for the legal entity.

The role has overall responsibility for the performance of the local Market Risk Management function, including strategic and daily risk management effectiveness and efficiency.

The role also supports the CSSSV CRO with the portfolio management activities in the entity. The role reports into the CSSSV CRO and the EMEA Head of Market Risk and will also work closely with senior risk specialists in portfolio management based in London.

Primary responsibilities :

  • Responsible for the day-to-day market risk management of CSSSV by understanding the day on day changes in the market risk born by the entity, set and own market risk limits, and challenge constructively the business when their risk taking does not fit with the risk strategy of the entity.
  • Understand and explain the main drivers of the market risk and counterparty credit risk profiles of the entity. If needed put in place stress testing to monitor and control certain pockets of risks.
  • Leads the development of CSSSV’s market risk appetite and strategy. Ensures that the market risk appetite and strategy of CSSSV are consistent with the risk appetite and strategy of Credit Suisse and also comply with local regulatory requirements / guidelines.
  • Chairs the CSSSV Market Risk Committee and participate in relevant legal entity (LE) Risk Management Committees (e.g. be a member of the CSSSV risk management committee, member of the CSSSV Credit Risk Committee as Portfolio management lead).
  • Ensures that market risk limits and risk exposures are consistent with CSSSV’s risk appetite and strategy and take into account the relevant operational risks.
  • Ensures engagement with, and challenges the Front Office with respect to risk taking activities and limit excesses, advises the Front Office on excess remediation and enforces the timely remediation and sign-off of limit excesses.
  • Responsible for maintaining an adequate market risk scenario framework for the CSSSV entity.
  • Responsible for ensuring that unauthorized trading risks are understood and that observations of potentially unauthorized activity are escalated and shared as and when encountered in the course of the daily risk management and control activities.
  • Responsible for ensuring that the function is effectively and appropriately involved and embedded in relevant legal entity governance committees and processes, including, but not limited to, Pre-trade Approval and New Business processes, Operational Risk processes, Inventory Valuation Review processes, etc.
  • Responsible for ensuring that there is adequate escalation to these committees and processes, as and when warranted.

  • Responsible for the function’s interaction with regulators and for meeting regulatory commitments and requests within required time frames.
  • Responsible for accuracy, completeness and timeliness of regulatory reports originating from the function. In particular, support the CSSSV CRO in preserving the market risk capital model approval obtained from the CNMV by reviewing the regulatory submissions evidencing the performance of the capital model.

  • Support both the market risk and the credit risk team to develop and execute the ICAAP Pillar 2 calculations and review, sign off and explain the ICAAP stress testing performed on the CSSSV portfolio.
  • Capacity to deliver projects with efficiency and within timelines and work under pressure. For the first few years, the role will be involved in large scale projects as the entity is expanding its portfolio and spectrum of activities.
  • This role presents a unique opportunity to grow with the role for a talented risk manager and to develop expertise in the ECB regulatory framework across market, credit and enterprise risk.

  • Manage a junior risk manager based in Poland and supporting the VP with their Market Risk and Portfolio management mandate.
  • You Offer

    You will thrive in a busy work environment, handling enquires related to planning and performance; the role requires :

  • Deep understanding of derivative products and market risks they generate, in particular CVA and CAV. Any asset class expertise will be considered but cross asset expertise is an advantage.
  • The role is primarily a market risk manager role but familiarity with counterparty credit risk is an advantage given the portfolio management responsibility.
  • Good understanding of the :
  • o risk management regulatory framework (e.g. Basel III, CRR 2, ECB TRIM),

    o counterparty credit and market risk stress testing,

    o ICAAP.

  • Deep understanding of risk metrics (such as VaR, Incremental Risk Charge) and solid culture in quantitative risk modelling in Market risk / market risk capital modelling (e.
  • g. previous knowledge of VaR, FRTB is an advantage).

  • Strong Analytical and problem solving skills and ability to manipulate large amounts of data. Must be autonomous with Excel and with finding financial data (e.g. Bloomberg, Reuters).
  • Capacity to work in a highly international environment collaborating effectively with Market Risk experts based outside of Madrid and with Traders based in multiple locations inclusive of Madrid.
  • Work effectively with the local and global risk teams in particular the enterprise risk management and the credit risk management team.

  • Highly organized and self-motivated individual who at all time demonstrates the highest levels of conduct and ethics.
  • Capacity to deliver projects with efficiency and within timelines and work under pressure. For the first few years, the role will be involved in large scale projects as the entity is expanding its portfolio and spectrum of activities.
  • Minimum of 6 years of relevant market risk management successful experiences in an investment bank or a broker dealer.
  • Excellent written and verbal communication skills in English.
  • University degree level with at least a MSc in a quantitative subject, preferably quantitative finance. FRM is an advantage.
  • Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.

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