Credit Suisse - FRTB Quant Analyst

Overall goal:

- Development and implementation of quantitative methodologies to be used for market risk measurement as part of the Quantitative Impact Studies/ Fundamental Review of Trading Book) QIS / FRTB project.

- To define and implement tactical revised methodology for all material non-modellable risk factors.

- Develop prototype standard rules capital calculation (sensitivity based approach) at group and trading desk levels.

We offer:

- Development / adaptation of existing VaR & Risk Not in VaR (RNiV) methodologies in order to be used to measure market risk for non-modellable risk factors and standard rules calculations under the proposed FRTB rules.

- Evaluate the impact of the new capital rules

- Implementation of quantitative methodologies, which are used to measure market risk under QIS/FRTB.

- Liaison with other members of SRM regarding the QIS project.

You Offer:

The candidate should have at least a first degree qualification in mathematics/statistics, physics, engineering or finance/econometrics and good skills with:

- Mathematics and programming

- Financial products, including financial derivatives, market risk.

- Microsoft Excel/VBA

- Written and verbal communication.