Credit Suisse - Credit Risk Management

We offer:

- Lead the AIRB Credit Parameters Modelling team

- Lead the development of credit risk rating models (PD, LGD, CCF) at single obligor and transaction level

- Core technical modeling, and liaison with stakeholders across the globe - independent validation teams, risk and finance functions, IT and Change teams etc

- Assist in the preparation of regulatory (e.g. Pillar III) disclosures relating to Basel

- Participating in project work around improvements to credit risk parameters

- Performing ad-hoc analysis

- Participating in our regular dialogue with our supervisors where appropriate

- Writing and maintaining detailed technical documentation and presentations for senior management and bank supervisors

You offer:

- OTC Derivatives (At least one asset class), Secured Financing Transactions

- Pricing models

- Computation of risk metrics (e.g VaR, EPE, PFE, RWA, Greeks)

- Credit Portfolio Modeling

- Default and migration risk modeling, PD/LGD/CCF Modeling

- Scenarios and stress testing

- Regulatory framework and rules (e.g. BASEL 3, CRD IV, AIRB, IMM etc.)

- Good quant skills and aptitude

- Good technical skills - exposure to one or more of the below:

- Programming and Algorithms - R (preferable), VBA / advanced Excel, Mat lab etc.

- Databases and SQL - MS Access, MySQL, Oracle etc.

- Understanding of IT implementation / infrastructure, as role needs to liaise with Risk IT

- Advanced / Master's degree in finance, mathematics, econometrics, engineering or other quantitative subject,Candidates from other streams who are able to demonstrate solid quantitative understanding to be able to understand the stress testing framework in depth are welcome to apply as well.

- Most important is strong interest in working with mathematical and statistical techniques and good background knowledge of quantitative finance

- Good Communication skills (oral and written) - Ability to communicate logically and precisely, including writing extended documentation, running meetings with senior stakeholders etc.

- Highly Detail Oriented

- Role requires individual contribution and team management.

- Prior management/leadership experience would be desirable