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20/11 Vinita Sharma
HR at Credit Suisse

Views:7182 Applications:627 Rec. Actions:Recruiter Actions:204

Credit Suisse - Credit Risk Quantitative Analyst - AIRB Quant Group (1-5 yrs)

Mumbai Job Code: 635626

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 force 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 create innovative 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.

We Offer :


About Credit Suisse :

As one of the world's leading banks, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. Founded in 1856, Credit Suisse has a long tradition of meeting the complex financial needs of a wide range of clients, offering advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients in Switzerland. Credit Suisse is active in over 50 countries and employs approximately 45,000 people. Further information can be found at www.credit-suisse.com.

Cultural diversity is essential to our success. As such, we employ people from more than 100 countries. Credit Suisse empowers employees to work openly and respectfully with each other and with clients, ultimately striving to deliver superior results while offering initiatives and programs to assist employees achieve a healthy work-life balance.

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.

Role overview :

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

- Client Credit Risk

- Counterparty Credit Risk

- Monte-Carlo Methodologies

- Issuer Credit Risk

- Trade Analysis

- Scenarios and Stress Testing

In this particular role we offer :

- Opportunity to participate in the development of AIRB models (Rating/PD, LGD, CCF)

- 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 AIRB team on methodology aspects and the roll out of models to additional geographies/jurisdictions

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

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

You Offer :


Qualifications/Competencies :

- Roles in Credit Analytics are technical and hence even managerial positions require candidates to be highly detail oriented and undertake hands-on tasks

- 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

- 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, CRR, 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

- 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.

- 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

Please Note: Our selection process involves technical interview to assess the above competencies. It will is advisable to bring a pen and paper.

Candidate Value Proposition :

- Exposure to the latest in credit risk and regulatory requirements across all major global regulators and across various business / geographies

- Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.

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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