HR at Credit Suisse
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Credit Suisse - Risk Modeler - Probability of Default/Loss Given Default/Exposure At Default (4-8 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.
Opportunity to participate in the development of models for AIRB/CCAR/Stress Testing (PD, LGD, EAD)
- Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle. This includes adjusting model parameters, dealing with performance issues, and scheduling a formal IT update cycle.
- Liaising internally with risk managers, including explaining model outputs, performing ad-hoc analysis and answering technical or background questions on the models and requirements.
- Work closely with the global Stress Testing team on methodology aspects.
- Work with Risk IT in the implementation of new methodologies.
- Produce analyses required for regulatory reporting and analyses requested by regulators.
You Offer -
- Roles in Credit Analytics are technical and hence even for a managerial positions it will requires you to be highly detail oriented and undertake hands-on tasks
- You have experience of PD, LGD and CCF models would be an asset, preferably from within a risk management department. Some experience in bank regulatory capital, Basel II/III, stress-testing would be advantageous
You have strong experience/knowledge in at least some of the following areas (in quant space):
- LGD, PD and CCF Modelling for AIRB and stress testing
- Regulatory framework and rules (e.g. BASEL, CCAR etc.)
- Credit Portfolio Modelling - Default and Migration Risk
- Counterparty Credit Risk
- Pricing and valuation - Derivatives (across one or more asset classes)
- Computation of Risk Metrics (e.g. VaR, EPE, PFE, RWA, Greeks)
- Risk Scenarios and Stress Testing
- Back-Testing and Monte-Carlo Methodologies
Strong Quant skills and aptitude We expect you to have deep understanding of Probability and Statistics / other quant concepts used in above areas
You have good technical skills exposure to one or more of the below programming language/database:
Programming and Algorithms: R, VBA / advanced Excel, Matlab etc.
Database and SQL: MS Access, MySQL, Oracle etc.
- You have advanced degree in finance, mathematics, econometrics, engineering or other quantitative subject.
- You are able to demonstrate deep understanding and are willing to deeply understand the stress testing framework in depth are welcome to apply as well
- You have strong communication skills (oral and written): Ability to communicate logically and precisely, including writing extended documentation
- You are highly Detail Oriented. This role requires hand-on approach along with management oversight
Credit Suisse is an equal opportunity employer. Embracing diversity gives us a competitive advantage in the global marketplace and drives our success.