Credit Suisse - Risk Modeler (Derivatives / Options / Swaptions)

- 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:

Departmental Overview : 

- Credit Suisse's Credit Risk Management (CRM) department within the Chief Risk Officer (CRO) division is responsible for credit risk-related methodologies. The Credit Analytics team in CRM has specific responsibility for development of models to capture such risks within regulatory guidelines, implementation and maintenance of such models within the bank's IT systems and ongoing monitoring / testing, documentation and communication with regulators in relation to such models and provision of related policies / processes pertinent to this.

- The Credit Analytics team has an opportunity for an experienced quantitative analyst to join the Trade analysis team.

- The Trade analysis team looks into performing pre-trade exposure calculations for live trades. This includes portfolio impacts (PE & EPE), haircut/initial margin recommendations, and in-depth analysis of structured deals. The exposures are used to ascertain credit charges and to understand the impact of new trades on regulatory capital as well as for monitoring exposure against counterparties by CRM.

- The Trade analysis team is also responsible for ascertaining and publishing Loan-to-Values (LTV) for collateral backed lending business. Work with Traders and CRM in addressing and enhancing the standard LTV methodologies

Key Responsibilities : 

- In our team you will calculate credit risk for live trade across all markets (FX, rates, equities, fixed income, commodities, etc.) and financial products (loans, derivatives)

- Calculate LTVs of Hedge Funds, Investment Funds, Structured Products, Money Market Instruments, Equity and Fixed Income to support the Lombard Lending business

- Check for any discrepancy between pre and post trade analysis,

- Communicate with CRM and FO to explain credit risk issues and the need for potential ad-hoc enhancements

- Maintain and develop the methodology on the Risk Grids-Publishing the same on the RiskNet.

- Ensuring that pre trade exposure calculation tools are improved to be in line with the latest changes in methodology.

- 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.

You Offer : 

- You hold a Bachelors or Master's degree in quantitative or relevant discipline preferred

- We are seeking a quantitative analyst with excellent technical skills and some prior experience of quantitative credit risk and derivatives products.

- You must have 4+years of experience (in a quantitative role)

- You possess strong technical skills, detailed knowledge of credit risk and derivative products with relevant banking/financial products experience

- Knowledge of database and mainstream programs (Access/Excel) and some programming skills (VBA, C++, etc.) is an advantage

- Ability to work well under stress and tight timelines with a minimum amount of supervision

- You possess strong written and verbal communication skills with the ability to express complex financial instruments in simple terms

- You are ambitious, hardworking who can work on own initiative whilst also working collaboratively and deliver on time with a high level of integrity, sense of urgency, attention to detail and quality standards

- You understand the value of diversity in the workplace and are 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.

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

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.