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03/04 Rashmi Gaikwad
HR at Credit Suisse

Views:4045 Applications:61 Rec. Actions:Recruiter Actions:0

Credit Suisse - AVP - Credit Risk Management - Exposure Analytics (5-10 yrs)

Mumbai Job Code: 437472

Credit Risk Management is a unit within the CRO Division. We are responsible for developing 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 stakeholders such as front office, risk analysis and reporting, financial accounting as well as auditors and regulators.

Given enhanced regulatory scrutiny of large banks, our area has seen a substantial increase in the number of regularly required reports as well as the number of ad-hoc requests especially from regulators. We are therefore looking to expand our team to cope with the additional workload and at the same time remain proactive in further developing the methods we apply in measuring and managing our risks.

Role Overview:

Counterparty Credit Risk (CCR) Exposure and Collateral (ECA) Methodology team in Mumbai is an integral part of the global CRM Credit Analytics team. CCR ECA Methodology owns and is responsible for further development of methodologies for counterparty credit risk exposure measurement based on Monte Carlo driven models. The primary role of the team is to measure and verify counterparty credit risk for the investment bank.

The objective of the role is to work closely with the colleagues in London and Zurich to support changes/enhancements to the methodology frameworks and additionally support several tactical process and reports for regulators as well as credit officers.

We Offer

- A challenging role in counterparty credit risk Monte Carlo modelling that includes:

Developing, Implementing and maintaining the methodologies to calibrate and monitor the performance of bespoke Monte Carlo exposure, collateral and netting models for derivatives and come up with innovative solutions to address the assumptions and limitations of the models.

Modelling the stochastic behavior of various risk factors underlying derivative trades (e.g. FX, interest rates, equity, commodities)

Programming of prototypes and production code (within an established C++ library, Python/R codebase)

Interaction with various internal and external stakeholders such as Credit Officers, IT and regulators and addressing requests from various regulators in the context of Basel 3 model implementation.

- Analyze and address questions around the exposure profiles from internal FO representatives and end to end responsibility of the exposure numbers coming from the Monte Carlo pricing tool.

- Analysis of failed trades in Monte Carlo Pricing Tool and suggest alternate solution till final solution is implemented.

Collaboration with IT to deliver strategic implementation of complex risk and simulation systems.

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.

You Offer

- Analytical/Numerical degree (physics/Mathematics/Engineering). CFA/FRM/CQF will be preferred

- Experience of at least one of the following topics: Numerical simulations, Monte Carlo, derivative pricing /modelling, Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)

- Working knowledge of at least one of R, MATLAB, Python, Mathematica or C++ is a must

- VBA, SQL, and Office package is highly recommended

- Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.

- Being responsible for deliverables.

- Good Communication skills.

- Highly Detail Oriented and strong team player.

- Strong analytical and problem solving skills

- A pragmatic and solution-oriented working style and Willingness to work hands-on

- Being a part of one of the growing divisions within Credit Suisse CRO. Credit Suisse believes in internal mobility thereby giving the candidate both vertical and horizontal exposure.

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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