Credit Suisse - ENO - Incremental Risk Change - Credit Risk Management

We offer:

- Opportunity to work in the Incremental Risk Charge (IRC) Methodology team in the Credit Analytics area of Credit Suisse's Chief Risk Officer division. This team is responsible for the bank's IRC methodology and FRTB Standardized methodology for Default risk charge (DRC). This challenging role includes:

- Further develop the Standardized methodology including both risk modelling aspects and business liaison aspects.

- Research, development and implementation for Standardized FRTB for DRC calculation and reporting approaches in a continuous improvement cycle that the team undertakes, contribute to the Bank's delivery on major regulatory initiatives related to methodology.

- Take part in IRC methodology development

- Regular interaction and visibility with a wide range of stakeholders across the Bank, particularly from Market Risk Management, Front Office, Reporting, IT and Regulatory Coordination.

You Offer :

- PhD or Master's degree in a quantitative subject, ideally with a strong curriculum in statistics/econometrics, quantitative finance or similar.

- Solid understanding of risk modelling in credit risk and/or financial markets in general.

- Proven experience in the financial services industry is essential, including successful application of quantitative methods in bank risk management

- Work experience in credit risk modelling, ideally in FRTB Standardized DRC, CCAR, IRC, credit portfolio methodology or credit regulatory capital is an asset.

- Understanding of the Basel II framework and the background to the IRC requirements.

- Ability to communicate logically and in a precise way, including writing rigorous and clear model documentation.