Credit Suisse - Credit Analytics/Quant Role

Departmental overview :

Credit Risk Management Credit Analytics is a unit within the CRO Division. We are responsible for developing, maintaining and documenting the models and methodologies used to measure credit risk.

These activities involve frequent interaction with a number of significant stakeholders such as front office, credit risk management, financial accounting as well as auditors and regulators.

Given enhanced regulatory scrutiny of large banks and changing business landscape, our area has seen a substantial increase in the number of credit risk models.

We are therefore looking to build our team to cope with the additional workload and at the same time remain proactive.

The team in Mumbai is part of the global CRM-Credit Analytics team. We cover the following areas :

- Counterparty Credit Risk

- Client Credit Risk

- Monte-Carlo Methodologies

- Issuer Credit Risk

- Trade Analysis

- Scenarios and Stress Testing

We Offer :

- Opportunity to work with one of Best Quants teams which drive's Credit Suisse's overall risk appetite and strategy

- A platform to develop / validate and manage the Bank business impactful model to assess risk

- To demonstrate your expertise in problem solving using Statistical, Mathematical and Programming knowledge and tools

- You to work in stimulating environment, where you are able to constantly challenge yourself to produce best results

- An opportunity to interact with Banks senior risk experts, traders, auditors and regulators

- Learning platform to keep yourself abreast with global banking norms, Market trends, regulatory changes and exposure to variety of RISK methodologies

- Strong experience/knowledge in at least some of the following areas (in quant space):

- AIRB - LGD, PD and CCF Modelling

- Regulatory framework and rules (e.g. BASEL, CCAR etc.)

- Credit Portfolio Modelling - Default and Migration Risk

- Counterparty Credit Risk

- Pricing and valuation - Derivatives (across one or more asset classes)

- Computation of Risk Metrics (e.g. VaR, EPE, PFE, RWA, Greeks)

- Risk Scenarios and Stress Testing

- Back-Testing and Monte-Carlo Methodologies

You Offer :

- Strong Quant skills and aptitude

- We expect candidates to have good understanding of Probability and Statistics / other quant concepts used in above areas

- Good technical skills - exposure to one or more of the below programming language/database:

- Programming and Algorithms: R, VBA / advanced Excel, Matlab etc

- Database and SQL: MS Access, MySQL, Oracle etc

- Advanced degree in finance, mathematics, econometrics, engineering 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

- Good Communication skills (oral and written): Ability to communicate logically and precisely, including writing extended documentation

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

- Team management experience would be advantageous