Credit Suisse jobs - Risk Modeler

Risk Modeler

Credit Suisse
experience 0 to 3 Years
salary Salary not disclosed
qualification
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Posted: 3 Years ago
Views: 1
Applications: 0
Openings: 1

Job Description

We Offer

Departmental Overview

The Risk Division is a highly visible, dynamic area of the firm where you can be an integral part of the decision making that supports the bank’s business. Our responsibilities range from Enterprise Risk management to risk and finance reporting, and regional risk teams covering the risk management for our entities. The Risk division's long-term success depends on our ability to achieve our vision and fulfil our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and ambitious environment that offers direct contact with senior management and encourages leadership at all levels.

The Quantitative Strategies Group at Credit Suisse is a modelling, analytics and trading risk group, whose mandate is to work as an integrated part of the trading teams to develop quantitative and technological solutions to tackle complex business problems. The group establishes and maintains a variety of quantitative analytics, including: pricing models; risk analytics; trader tools for risk management, hedging, and relative value; tools and techniques to optimize trading decisions across portfolio risks and capital.

It is 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.

Role Overview

Opportunity to work in the team that owns the FRTB DRC and Incremental Risk Charge (IRC) methodology and calculation. IRC is a regulatory capital charge for credit risk in the trading book. It requires an internally designed calculation that must meet regulatory standards.

Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle. This includes methodology development and enhancements, model parameters calibration, dealing with performance issues, and model maintenance.
  • Coordinate internally with market risk managers and Front Office clients, including responding to technical and model background related questions, explaining day-to-day movements, performing ad-hoc analysis.
  • Work closely with senior members of the IRC teams in Mumbai and London on methodology development work.
  • Work with Risk IT on implementation of various methodology enhancements.
  • Work on the FRTB DRC model implementation aspects.

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.
  • Roles in Quant Strats are technical and will require candidates to be highly detail oriented and undertake hands-on tasks
  • Strong Quant skills and aptitude – we expect candidates to have good understanding of Probability and Statistics / other quant concepts used in above areas
  • Outstanding technical skills – exposure/hands on to at least one of the following programming languages: R, Python, C#, C++, preferably the latter 2.
  • Advanced degree in finance, mathematics, econometrics, engineering or other quantitative subject. Candidates from other streams who are able to demonstrate good conceptual understanding and are willing to understand the IRC/DRC models in depth are encouraged to apply as well
  • Prior experience in LGD modelling is a big plus.
  • Outstanding interpersonal ability and can communicate logically and accurately, including writing extended documentation.
  • Ability to deal with business partners independently
  • Result oriented, dedicated, hardworking and can work on own initiative whilst also working to deliver on time with a high level of integrity, sense of urgency, attention to detail and quality standardsCredit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.

Job Particulars

Role Others
Who can applyFreshers and Experienced (0 to 3 Years )
Hiring Process Face to Face Interview
Employment TypeApprenticeship
Job Id557277
Job Category Others
StateMaharashtra
Country India

About Company

Credit Suisse
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