Credit Suisse - Credit Risk Management Role

We offer :

- Opportunity to participate in the development of state of the art stress testing models for AIRB Parameters (PD, LGD, EADs)

- Involvement in the delivery of an ambitious Stress Testing program (with focus on APAC portfolio) in close collaboration with a US related capital adequacy Stress-Testing streams in the bank

- Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle. This includes adjusting model parameters, dealing with performance issues, and scheduling a formal IT update cycle.

- Liaising internally with risk managers, including explaining model outputs, performing ad-hoc analysis and answering technical or background questions on the models and requirements.

- Work closely with the global stress testing team on methodology aspects.

- Work with Risk IT in the implementation of new methodologies.

- Produce analyses required for regulatory reporting and analyses requested by regulators.

You offer :

- Experience of PD, LGD and CCF models would be an asset, preferably from within a risk management department. Some experience in bank regulatory capital, Basel II/III, stress-testing would be advantageous

- Should have 6-7+ years of experience (in a quantitative role) with at least some of the following

- OTC Derivatives (At least one asset class), Secured Financing Transactions Pricing models

- Computation of risk metrics (e.g VaR, EPE, PFE, RWA, Greeks)

- Credit Portfolio Modeling

- Default and migration risk modeling, PD/LGD/CCF Modeling

- Scenarios and stress testing

- Regulatory framework and rules (e.g. BASEL 2/3, CRD IV, AIRB, IMM etc)

- Good quant skills and aptitude

- Good technical skills

Exposure to one or more of the below :

- Programming and Algorithms - R (preferable), VBA / advanced Excel, Matlab etc

- Databases and SQL - MS Access, MySQL, Oracle etc

- Understanding of IT implementation / infrastructure, as role needs to liaise with Risk IT

- Advanced / Master's degree in finance, mathematics, econometrics, engineering or other quantitative subject.

- Candidates from other streams who are able to demonstrate solid quantitative understanding to be able 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 and desirable