Credit Suisse jobs - Risk Modeler

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 analytics 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 determine credit charges and to understand the impact of new trades on regulatory capital as well as for monitoring exposure against counterparties by CRM.

The 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

We are 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.
Key Responsibilities

Our team calculates credit risk for live trade across all markets (FX, rates, equities, fixed income, commodities, etc.) and financial products (loans, derivatives)

Work on pre-trade requests on Lombard business by providing LTVs of Hedge Funds, Investment Funds, Structured Products, Money Market Instruments, Equity and Fixed Income to support the Lombard Lending business.

Seek to monitor discrepancy between pre and post trade analysis. In case of discrepancies, should be able to provide/suggest economic risk by modelling the trade exposure. Should be open to provide stop gap solution.

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.

You Offer

• 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.
• Bachelors’ or Master’s degree in quantitative or relevant field preferred
• Seeking a quantitative analyst with outstanding technical skills and some prior experience of quantitative credit risk and derivatives products with relevant banking/financial products experience.
• 4+years of experience (in a quantitative role)
• Excellent Database skills ie., proficient in SQL/Sybase .
• Knowledge of database and mainstream programs (Access/Excel) and some programming skills (VBA, C++,C#, Python etc.) is an advantage
• Ability to work well under stress and tight timelines with a minimum amount of supervision
• Strong written and verbal communication skills with the ability to express complex financial instruments in simple terms
• Results-oriented, 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.Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.