We offer:  The major responsibilities of this role relate to the development and specification of quantitative methodologies, which are used to measure market risk.   Each analyst is aligned with a business cluster (e.g. Equities, Rates etc.), and has the following responsibilities for their cluster:  - Understand the products traded and trading strategies used.  - Identify all sources of market risk.  - Develop and specify the VaR model.  - Understand and monitor the VaR model's performance.  - Ensure that any risk not captured by the VaR model is measured within the Risks-not-in-VaR framework.  - Ensure that any significant tail-risk is highlighted to the Scenarios team.  - Support the development and specification of the Economic Risk Capital (ERC) model.  - Collaborate closely with the Model Validation group to ensure that the risk sensitivities used for risk calculations are appropriate.  - Collaborate closely with the data team to ensure that the historical data used in VaR or ERC calculations are appropriate.  - Collaborate closely with the Strategic Change Management (SCM) team, to ensure that any changes to methodology are appropriately project-managed for implementation.  - Ensure that all risk models are adequately documented for both internal and external (e.g. regulatory) purposes  You offer:  - The candidate should have a first degree in mathematics, theoretical physics, econometrics, statistics or engineering, followed by a Ph.D / Masters in Science in one of those areas or in finance.   - The role would suit a candidate with experience in quantitative risk measurement within an investment bank or, more broadly, with experience in a quantitative role within finance.  - It is essential that the candidate has a very good understanding of financial mathematics, and in particular an understanding of derivative instruments and the risks they generate.   - He or she also needs to understand the effects, and relative importance, of underlying risk factors upon the v alue of the instruments.   - A very strong mathematical background is essential. In addition a background in statistics, time series analysis and probability theory would be of particular interest.   - Problem solving skills, as well as computational and communication skills, are essential.   - The candidate should be able to explain complicated concepts clearly to all members of staff, and present their proposals in a clear and precise manner to senior management and regulatory bodies.

Mumbai

Credit Suisse - Risk Methodology Analyst 

Credit Suisse - Risk Methodology Analyst  ,Job Description for Credit Suisse - Risk Methodology Analyst  in Credit Suisse in  Mumbai for (0-3) years of experience. Apply Now!

Job Description for Credit Suisse - Risk Methodology Analyst  in Credit Suisse in  Mumbai for (0-3) years of experience. Apply Now!