Risk Modeler #155438

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.

We offer

Banking regulators, globally, require systemically important financial institutions, to demonstrate they can endure adverse economic environments through a process called - Stress Testing- . The most salient of these tests, carried out by the Federal Reserve in the United States, is the - Comprehensive Capital Analysis and Review- (CCAR). From April 2017, Credit Suisse is required to make CCAR submissions, and will be also obligated to participate in other strategic stress testing programs (tests run by FINMA, ICAAP). For these reasons, we have a continued focus on building and enhancing our risk and capital management capabilities.

This role forms part of our Projections Modelling team that is currently growing to work on mathematical and econometric models used for projecting how our businesses would perform under certain hypothetical stress conditions, over a multi-year horizon, to meet stress-testing requirements imposed on global financial institutions by different regulators. The team expands the capabilities of our well-established Quantitative Strategies (Quant Strats) Group.

The Quant Strats group is responsible for producing state-of-the-art pricing, trading and risk management models across a range of business for Credit Suisse. The group's mandate covers all major asset classes. Quant Strats operates globally with ca 160 members located in business centers in New York, London, Zurich, Sao Paulo, Hong Kong, and Singapore.

The group carries out a range of activities that include the creation of sophisticated mathematical models for the valuation and risk-management of complex derivatives, development of the analytics platform used to deliver models and driving the use of these models throughout the bank. The work varies from tactical responses to movements in global markets to longer term strategic projects to improve our pricing and risk management offerings.

We are a department that 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.

Your main responsibilities will involve

- Build and maintain projections models (champions and challengers) used in stress testing programs (CCAR, FINMA)

- Develop tools to facilitate testing and performance monitoring of models

- Document model methodology and related processes

- Coordinate with Quant Strats internal and external teams on development, implementation, and review of projections models

Open to discussing flexible/agile working.

You offer

Understand the value of diversity in the workplace and is dedicated to fostering an inclusive 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.

Key requirements for the role are

- Solid understanding of time-series analysis techniques, and more general econometric modeling methods

- Proficient in implementing statistical models in R

- Hold a Master's degree in a quantitative field (Economics, Mathematics, Statistics, etc.)

- Outstanding written skills and an ability to compose well-structured technical model methodology documentation

- Outstanding analytical and verbal communication and presentation skills, ability to engage in concise, effective discussions and an excellent teammate

The following will be advantageous

- Experience with one or more of the following tools: Excel, VBA, SAS, Stata, SPSS, Eviews, and/or Matlab

- Exposure to the Monte Carlo simulation methods

- Risk analysis experience within the financial industry

- Hold PhD. in Economics, Applied Statistics, or other highly-empirical fields

Equal Opportunity Statement

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

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