Credit Suisse - Credit Analytics Role

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.

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

- Counterparty Credit Risk / IMM Modelling

- Client Credit Risk / AIRB Modelling

- Monte-Carlo Methodologies

- Issuer Credit Risk / IRC / Credit Portfolio Modelling

- BaU Portfolio and Trade Analytics

- Scenarios and Stress Testing

- Model Performance Monitoring

As a member of this team you will be collaborating with colleagues and stakeholders globally to deliver on multiple projects we undertake in the above functional areas.

Roles in Credit :

- Analytics are technical and hence even for a managerial positions it will require candidates to be highly detail oriented and be able undertake hands-on tasks (for e.g. programming)

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

- Counterparty Credit Risk

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

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

- Credit Portfolio Modelling - Default and Migration Risk

- Risk Scenarios and Stress Testing

- Regulatory framework and rules (e.g. BASEL, CCAR etc.) AIRB - LGD, PD and CCF Modelling

- Back-Testing and Monte-Carlo Methodologies

- 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/hands on to at least one of the below programming language/database :

i. Programming and Algorithms : R, Python, Java, C++, Matlab, VBA etc.

ii. Database and SQL: MS Access, MySQL, Oracle etc.