Jun. Risk Modeler
Credit Suisse
Mumbai, Mumbai, India
4h ago

Your field of responsibility

  • The Quantitative Strategies Group at Credit Suisse is a modeling, analytics and trading risk group. We work as an integrated part of the trading teams to develop and deliver : pricing models;
  • risk analytics; trader tools for risk management, hedging, and relative value; electronic market making analytics; management tools and techniques used to optimize trading decisions across the Investment Bank portfolio risks and capital;
  • market risk models used for capital. The group is organized along business-lines and sits with the trading desks.

    In this role, you will develop analytics used for risk management, as well as internal (such as Credit Economic Capital) and / or regulatory capital (such as the Incremental Risk Charge) of credit securities, derivatives and loans.

    As a member of the team, you will use the firm's infrastructure, franchise, expertise to work closely with the firm's risk managers and traders across multiple desks trading securities and derivatives in the credit asset class.

    You will support the risk managers in using the analytics and in performing quantitative analysis.

    Your future colleagues

    We are the Credit team within Quantitative Strategies. We are responsible for the development of the analytics for pricing, risk management and capital metrics used by multiple desks and businesses within the Investment Bank, such as Investment Grade and High Yield Trading, Credit Systematic Trading, Structured Credit Trading, Corporate Bank and Structured Notes.

  • We work in close collaboration with risk managers on developing and implementing analytics that are used in credit capital models (such as the FRTB Default Risk Charge and Incremental Risk Charge, a regulatory capital charge for credit risk on traded securities;
  • Pillar 2 models which covers foremost stress testing methodologies and the Credit Economic Risk Capital model, which measures the potential unexpected loss in economic value of the Group’s portfolio of financial positions due to credit risk).

    We are part of an outstanding quant group with 25 years of history and unparalleled focus on training our recruits, sharing knowledge across the team, providing opportunities to grow and have an impact on the firm.

    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 cultural values.

    Remote Working?N / A - pending TWWW agreement

    Your skills and experience

    We are looking for applicants who have

    An advanced technical degree (Master or PhD) in Mathematics, Physics, Engineering, Computing, etc.

    Outstanding quantitative and statistical modeling skills

    Proficiency in mathematical finance, optimization, time-series analysis, credit derivatives and securities is desirable

    Experience in the area of credit capital models is an advantage

    Programming skills, preferably, Python, R, C++ or C#

    Proven ability to work both independently and as part of a team

    Ability to communicate optimally at all levels is essential

    Dedication to fostering an inclusive culture and value diverse-perspectives

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