HR at Credit Suisse
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Credit Suisee - Risk Modeler (2-5 yrs)
Quantitative Analytics and Technology (QAT) is a unit within the Chief Risk Officer (CRO) Division. We are responsible for developing, improving and documenting the methodologies used to measure credit risk as well as for reporting on those risks Credit Suisse is exposed to. These activities involve frequent interaction with a number of significant business partners such as front office, risk analysis and reporting, financial accounting as well as auditors and regulators.
The role requires:
- Development and improvement of models for risk factor evolution, calibration, pricing, exposure computation, monitoring, collateral treatment, wrong way risk and concentration risks in the bank's portfolio
- Improvement/enhancement of the existing libraries, implementation of ad-hoc tasks in the libraries
- Programming of prototypes /production code (within an established C++/Python library) and using them for exposure comparison
- Addressing requests from various regulators, e.g. in the context of Basel III and IV, BCBS IOSCO, CRD IV, etc.
- Represent QAT in CRM Committees for Exposure computations, Wrong Way Risk, IOSCO requirements for un-cleared derivatives and other strategic working groups
- Interaction with various internal partners such as Credit Officers, Trade Analysis, Model Validation etc.
- Empirical analysis of financial data
- Members often find themselves collaborating with IT to deliver strategic implementations of complex risk and simulation systems.
- Members cater to other bespoke requests regarding exposure analysis for several audit or regulatory reports
- You will need to take ownership of any task and see it through, be a thinker and take proactive steps to improve process continually in order to take it to the next level, should be comfortable working under strict timelines.
- A department which 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 Conduct and Ethics Standards.
You Offer :
- You are highly detail oriented and undertake hands-on tasks even for managerial positions.
- Advanced degrees in finance, mathematics, econometrics, engineering or other quantitative subjects. If you are from any other streams, you must be able to demonstrate good conceptual understanding and are willing to understand the Credit Risk Models in depth are welcome to apply as well.
- You should have a strong foundation in probability and statistics.
- You have strong analytical and problem solving skills.
- You have an experience in at least one of the following topics: Numerical simulations, Monte Carlo simulations, derivative pricing/modelling, computation of risk metrics (e.g. VaR, EPE, PFE, Greeks)
- Prior experience in development of quantitative models in C++ (required), Python, C#
- You will have to deal in VBA code, SQL queries, and Microsoft Office daily
- Knowledge of risk mitigation practices and experience with Basel II/III/IV initiatives will be considered advantageous.
- You will take full responsibility for deliverables.
- You possess good written and verbal communication skills- ability to communicate logically and accurately, including writing extended documentation
- A pragmatic and solution-oriented working style and willingness to work hands-on will go a long way
- You are ambitious and hardworking who can work on own initiative whilst also working collaboratively
- You understand the value of diversity in the workplace and are 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. This should be further elaborated on in your application.