AVP - Senior Risk Modeler - BFS

Senior Risk Modeler, AVP

India-Mumbai-Mumbai | Full-time (FT) | Risk, Legal & Compliance | 1

Exp ; 6 years ( Relevant)

Coding : Python or R

- Knowledge of Statistics, Logical Thinking

Description :

- Opportunity to work in the team that owns the FRTB DRC and Incremental Risk Charge (IRC) methodology and calculation.

- IRC is a regulatory capital charge for credit risk in the trading book. It requires an internally designed calculation that must meet regulatory standards.

Main responsibilities would include :

- Designing, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle. This includes methodology development and enhancements, model parameters calibration, dealing with performance issues, and model maintenance.

- Coordinating internally with market risk managers and Front Office colleagues on various model changes.

- Work on model audit related activities

- Work on the FRTB DRC model implementation aspects or work with Risk IT on implementation of various methodology enhancements.

- Seek to drive automation projects, this would involve working in close partnership with project managers, IT teams and functional leads.

- Maintaining the team's key policies and manuals, along with having an oversight of the IRC/DRC model inventory.

Your future colleagues :

- This role would be within the Quantitative Strategies - Incremental Risk Charge (IRC) team within the Chief Risk and Compliance Org (CRCO).

- The Quantitative Strategies Group at Credit Suisse is a modelling, analytics and trading risk group, whose mandate is to work as an integrated part of the trading teams to develop quantitative and technological solutions to solve complex business problems. T

- he group establishes and maintains a variety of quantitative analytics, including: pricing models; risk analytics; trader tools for risk management, hedging, and relative value; tools and techniques to optimize trading decisions across portfolio risks and capital.

- The department values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global cultural values

Qualifications :

- This role will be within the team responsible for developing, enhancing and maintaining the IRC/DRC models and methodologies.

- The applicant will need to have exposure to risk management fundamentals, outstanding quantitative skills and aptitude, exposure to programming languages, strong verbal and written communication skills combined with an understanding of financial markets.

- Roles in Quant Strats are technical and will require candidates to be highly detail oriented and undertake hands-on tasks

- Strong quantitative skills and aptitude - good understanding of Probability and Statistics /other quant concepts used in above areas

- Good technical skills - exposure/hands on to at least one of the following programming languages: R, Python, C#, preferably the latter 2

- Advanced degree (preferably a masters) in finance, mathematics, econometrics, engineering or other quantitative subject.

- If from other streams can/able to demonstrate good conceptual understanding and are willing to understand the IRC/DRC models in depth are encouraged to apply as well

- Prior experience in modelling is a big plus

- Ability to communicate logically and accurately. The role may involve frequent coordination with external business partners, including senior management and internal and external auditors.

- Experience in writing model documentation or regulatory reports is desirable.

- Understands the value of diversity in the workplace and is dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work