Credit Suisse - Quantitative Market Risk Role (2-6 yrs)
Credit Suisse - Quantitative Market Risk (Python, C#, C++, R)
Credit Suisse is a leading global wealth manager with strong investment banking capabilities. Headquartered in Zurich, Switzerland, we have a global reach with operations in about 50 countries and employ more than 45,000 people from over 150 different nations. Embodying entrepreneurial spirit, Credit Suisse delivers holistic financial solutions to our clients, including innovative products and specially tailored advice.
Striving for quality and excellence in our work, we recognize and reward extraordinary performance among our employees, provide wide-ranging training and development opportunities, and benefit from a diverse range of perspectives to create value for our clients, shareholders and communities. We are Credit Suisse.
- A department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards.
- Develop the Internal Models Approach (IMA) 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 across multiple asset classes like Equity, FX, GIRR, Credit etc. along with Non-Model able Risk Factors (NMRF) computations covered under FRTB-IMA rules
- Study the alternative methodology (Standard Rules Approach) impacts and compare the results with the IMA based method to arrive at an optimum level of capital utilizing both approaches
- Ensure that process is adequately documented for both internal testing and further improvement purposes
- Collaborate with the strategic stream - methodology developers, data streams, system owners and IT analysts to implement the model as it goes live
- Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications
- You have at least 2-5 years of experience in quantitative market risk measurement within an investment bank or other financial institution; previous VaR experience is required
- You have a first degree in mathematics, physics, econometrics, statistics or engineering.
- You hold 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 are knowledgeable in MS Excel and VBA skills is highly preferred. Experience in C#/Python is highly valued
- You have the ability to work well in a team and building positive relationships
- You have the ability to manage high quality and accurate work, under a tight deadlines
- You have willingness to question and challenge the status quo and ability to provide alternative approaches
- Understands the value of diversity in the workplace and is dedicated to developing a versatile culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work. This should be further elaborated on in your application.
Equal Opportunity Statement:
Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives