HR at Credit Suisse
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Credit Suisse - Risk Modeler (4-9 yrs)
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.
- All responsibilities in the Counterparty Credit Risk - Methodology team directly affect the bank's Risk Capital. As the team fully is responsible for the models and methodologies the stakes are very high and a low margin for error. As regulatory demands change, team members are expected to build new models or improve upon existing ones to align with existing standards.
- Members regularly need to engage in discussions of a very theoretical nature with the teams in Zurich and London in order to device tactical and strategic solutions to modelling issues or cater to regulatory requests.
- The role requires development and improvement of CCR Methodology models for exposure computation, collateral treatment, wrong way risk and concentration risks in the bank's portfolio
A typical day at work involves:
- Review, improvement and maintenance of CCR Methodology Models, Exposure Computation Models, Wrong Way Risk Models and other models
- Provide pre-deal assessment of wrong way risk, collateral haircuts to business
- Programming of prototypes /production code (within an established C++/R/Python library) and using them for exposure comparison
- Interaction with various internal partners such as Credit Officers, Trade Analysis, Model Validation etc.
- Empirical analysis of financial data
- Members often find themselves collaborating with IT to deliver strategic implementations of complex risk and simulation systems.
- Members cater to other bespoke requests regarding exposure analysis for several audit or regulatory reports
- You are highly detail oriented and undertake hands-on tasks
- You have an advanced degrees in finance, mathematics, econometrics, engineering or other quantitative subjects and should have a strong foundation in Probability and Statistics.
- You should have experience in at least one of the following topics: Numerical simulations, Monte Carlo, derivative pricing /modelling, Computation of risk metrics (e.g. VaR, EPE, PFE, Greeks)
- You have deep knowledge of one of the programming languages like R, MATLAB, Python, C++ is strongly preferred and will have to deal in VBA code, SQL queries
- You should be able to communicate logically and precisely, including writing extended documentation.
Credit Suisse is an equal opportunity employer. Embracing diversity gives us a competitive advantage in the global marketplace and drives our success.