AVP - Counterparty Credit Risk - BFS

Counterparty Credit Risk (CCR) Methodology is an integral part. The Team is responsible for the development of methodologies/Credit Risk models for the measurement of Counterparty Credit Risk . These models calculate the Risk Capital of the bank and have important stake holders. The team is also responsible for actively engaging with counterparts in Zurich and London to upgrade, develop, Monitor and calibrate risk models.

We Offer:

- All responsibilities in the Counterparty Credit Risk - Methodology team directly affect the bank's Risk Capital. As the team fully is responsible for the models and methodologies the stakes are very high and a low margin for error. As regulatory demands change, team members are expected to build new models or improve upon existing ones to align with existing standards.

- Members regularly need to engage in discussions of a very theoretical nature with the teams in Zurich and London in order to device tactical and strategic solutions to modelling issues or cater to regulatory requests.

- The role requires development and improvement of CCR Methodology models for exposure computation, collateral treatment, wrong way risk and concentration risks in the bank's portfolio

- A typical day at work involves: :

- Review, enhancement and maintenance of CCR Methodology Models, Exposure Computation Models, Wrong Way Risk Models and other models

- Provide pre-deal assessment of wrong way risk, collateral haircuts to business

- Programming of prototypes /production code (within an established C++/R/Python library) and using them for exposure comparison

- Interaction with various internal stakeholders such as Credit Officers, Trade Analysis, Model Validation etc.

- Empirical analysis of financial data

- Members often find themselves collaborating with IT to deliver strategic implementations of complex risk and simulation systems.

- Members cater to other bespoke requests regarding exposure analysis for several audit or regulatory reports.

You Offer:

- You ought to be highly detail oriented and undertake hands-on tasks

- The ideal candidate should have an advanced degrees in finance, mathematics, econometrics, engineering or other quantitative subjects and should have a strong foundation in Probability and Statistics.

- You should have experience in at least one of the following topics: Numerical simulations, Monte Carlo, derivative pricing /modelling, Computation of risk metrics (e.g. VaR, EPE, PFE, Greeks)

- You must have working knowledge of one of the programming languages like R, MATLAB, Python, C++ is strongly preferred and will have to deal in VBA code, SQL queries

- You should be able to communicate logically and precisely, including writing extended documentation