10/06 Vinita Sharma
HR at Credit Suisse

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Credit Suisse - Market Risk Quants Role (2-3 yrs) Premium

Mumbai Job Code: 707398

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 global force employing over 45,000 people in 50 countries. With new leadership, a new strategy and a new streamlined global organization, we are set for growth. We partner across business, division and regions to create innovative solutions to meet the needs of our clients and to help our employees grow. It is 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:

- Improve the Standard rules-based methodology under FRTB (Fundamental Review of Trading Book) framework and ensure compliance with the latest regulatory rule set prescribed by BCBS (Basel Committee on Banking Supervision)

- Participate in the QIS (Quantitative Impact Study) to estimate the Market Risk RWA impact for the firm under the proposed framework

- Deep analysis of various risk types (delta, vega, and curvature) across multiple asset classes like Equity, FX, GIRR, Credit, etc. covered under the sensitivities based approach of FRTB-Standard rules

- Study the alternative methodology (Internal Models Approach) impacts and compare the results with the Standard Rules-based method to arrive at an optimum level of capital utilizing both approaches

- Ensure that the process is adequately documented for both internal testing and further development purposes

You Offer:

- You have at least 2-3 years of experience in quantitative market risk measurement within an investment bank or other financial institution; previous VaR experience is required

- You should have a first degree in mathematics, physics, econometrics, statistics or engineering.

- You have a higher degree in one of those areas or in finance or a professional qualification e.g. CFA, FRM, PRIMA would be an advantage

- You have deep knowledge of risk issues and investment products, together with some programming skills would be also desirable

- You have good MS Excel and VBA skills are highly preferred. Experience in C# is highly valued

- You have the ability to work well in a team and building positive relationships

- You have the ability to produce high quality, accurate work, under stress and to tight deadlines

- You have the willingness to question and challenge the status quo and ability to provide alternative approaches

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

Women-friendly workplace:

Maternity and Paternity Benefits

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