Credit Suisse - Quant Role - Market Liquidity Risk Management

Role Description:

- Play a central role in the development of a - best in class- Economic Capital model

- Understand how the Economic Capital model is used in a leading financial institution

- Proactively seek solutions to improve material parts of the model; review and improve components; identify the relevant sources of risk and assess their capture

- Research alternative methodologies, and compare them; justify and test the chosen option

- Ensure that models are adequately documented for both internal and external (e.g. regulatory) purposes

- Collaborate with IT analysts and developers to implement changes to the model

- Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications

Required :

- At least 2 years- experience in quantitative market risk measurement within an investment bank or other financial institution; previous VaR or Economic Capital experience is required

- The candidate should have a first degree in mathematics, physics, econometrics, statistics or engineering.

- A higher degree in one of those areas or in finance or a professional qualification e.g. CFA, FRM, PRIMA would be an advantage

- General knowledge of risk issues and investment products, together with some programming skills would be also desirable

- Candidates are required to have programming experience, preferably using C++

- Experience in methodology documentation is highly valued

- Ability to work well in a team and building relationships

- Ability to produce high quality, accurate work, under pressure and to tight deadlines

- Willingness to question and challenge the status quo and ability to provide alternative approaches