Credit Suisse - Quantitative Analyst - Incremental Risk Charge Methodology

As one of the world's leading banks, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. Founded in 1856, Credit Suisse has a long tradition of meeting the complex financial needs of a wide range of clients, offering advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients in Switzerland. Credit Suisse is active in over 50 countries and employs approximately 45,000 people. Further information can be found at www.credit-suisse.com.

Cultural diversity is essential to our success. As such, we employ people from more than 100 countries. Credit Suisse empowers employees to work openly and respectfully with each other and with clients, ultimately striving to deliver superior results while offering initiatives and programs to assist employees achieve a healthy work-life balance.

Departmental overview:

Credit Suisse's Credit Risk Management (CRM) department within the Chief Risk Officer (CRO) division is responsible for credit risk-related methodologies that include large parts of traded credit risk. The Credit Analytics team in CRM has specific responsibility for development of models to capture such risks within regulatory guidelines, implementation and maintenance of such models within the bank's IT systems and ongoing monitoring / testing, documentation and communication with regulators in relation to such models and provision of related policies / processes pertinent to this.

The Credit Analytics team has an opportunity for an experienced quantitative analyst at Vice President (VP) level to lead the Mumbai team within the Incremental Risk Charge (IRC) methodology team. The candidate will work on the development, implementation and maintenance of IRC and related credit portfolio models under various regulations including Basel 2.5 and FRTB.

- Head Incremental Risk Charge (IRC) Methodology Mumbai team managing a team of about 10 quants working on various aspects of IRC methodology development, implementation and maintenance.

- Take ownership and responsibility of BAU tasks that team participates in and ensure high quality delivery within minimal issues.

- Coordinate with various stakeholders across the Bank, particularly from CRO Change, Market Risk Management, Front Office, Reporting, IT and Regulatory Coordination.

- Be responsible for presenting methodology changes in senior forums.

- Be responsible for training of stakeholders around methodology aspects.

- Gain in depth understanding of methodology and be able to provide guidance to the team and be able to resolve any queries IRC team receives around methodology aspects from market risk people.

- Roles in Credit Analytics are technical and hence even for a managerial position it will require candidates to be highly technical and provide hands-on guidance to juniors on their tasks.

- Excellent quant skills ideally covering most of the following areas:

Probability, Statistics, Calculus and other Higher Mathematics

Credit Portfolio Modelling techniques - Default and Migration Risk modelling, AIRB - LGD, PD Quantitative Market Risk including VaR modelling, ideally from within a model development, or other quantitative risk management function

Derivative pricing techniques in particular in the areas of interest rates and credit.

Basel 2.5 and FRTB regulatory frameworks

- Excellent IT skills ideally in all of the following areas:

Programming: C++/C#, R, VBA / advanced Excel

Database and SQL: MS Access, MySQL, Oracle etc

- Advanced degree in Quantitative Finance, Mathematics, Physics or other quantitative subject. Candidates from other streams who are able to demonstrate good conceptual understanding and are willing to understand the stress testing framework in depth are welcome to apply as well

- Excellent verbal and written communication skills: Ability to communicate clearly and precisely, including writing extended documentation and presentation skills

- Highly Detail Oriented. This role requires hand-on approach along with management oversight

- Several years of team management experience

PS: Our selection process involves technical interview to assess the above competencies. It will be advisable to have a pen and paper.