Credit Suisse - Credit Risk Modeler

Credit Suisse is a leading global wealth manager with strong investment banking and asset management capabilities. Founded in 1856, Credit Suisse has expanded to be a global strength employing over 45,000 people in 50 countries. With new leadership, a new strategy and a streamlined global organization, we are set for growth. We partner across businesses, divisions and regions to build creative solutions to meet the needs of our clients- and to help our employees grow. It is a high priority for us to continually invest in our employees by providing ongoing opportunities for training, networking and mobility. Join us and let's shape the future of Credit Suisse together.

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 partners such as front office, risk analysis and reporting, financial accounting as well as auditors and regulators.

Given improved regulatory scrutiny of large banks, our area has seen a significant 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 Group to cope with the additional workload and at the same time remain dedicated in further developing the methods we apply in measuring and handling our risks.

Counterparty Credit Risk (CCR) Methodology team in Mumbai is an integral part of the global CRM Credit Analytics team. The Team is responsible for the development of methodologies/Credit Risk models for the measurement of Counterparty Credit Risk. These models calculate the Risk Capital of the bank and have important partners. The team is also responsible for actively engaging with counterparts in Zurich and London to upgrade, develop, Monitor and calibrate risk models.

We Offer:

- All responsibilities in the Counterparty Credit Risk - Methodology team directly affect the bank's Risk Capital. As the team fully is responsible for the models and methodologies the stakes are very high and a low margin for error. As regulatory demands change, team members are expected to build new models or improve upon existing ones to align with existing standards.

- Members regularly need to engage in discussions of a very theoretical nature with the teams in Zurich and London in order to device tactical and strategic solutions to modeling issues or cater to regulatory requests.

- The role requires development and improvement of CCR Methodology models for exposure computation, collateral treatment, wrong way risk and concentration risks in the bank's portfolio

- Review, improvement and maintenance of CCR Methodology Models, Exposure Computation Models, Wrong Way Risk Models and other models

- Provide pre-deal assessment of wrong way risk, collateral haircuts to business Programming of prototypes /production code (within an established C++/R/Python library) and using them for exposure comparison

- Interaction with various internal partners such as Credit Officers, Trade Analysis, Model Validation etc.

- The 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 Offer:

- You are highly detail oriented and undertake hands-on tasks

- You should have advanced degrees in finance, mathematics, econometrics, engineering or other quantitative subjects and should have a strong foundation in Probability and Statistics.

- You should have experience in at least one of the following topics: Numerical simulations, Monte Carlo, derivative pricing /modeling, Computation of risk metrics (e.g. VaR, EPE, PFE, Greeks)

- You have deep knowledge of one of the programming languages like R, MATLAB, Python, C++ is strongly preferred and will have to deal in VBA code, SQL queries

- You should be able to communicate logically and precisely, including writing extended documentation

Credit Suisse is an equal opportunity employer. Embracing diversity gives us a competitive advantage in the global

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