Credit Suisse - Credit Risk Management Role - Risk Methodology

We offer :

A challenging role in counterparty credit risk modeling that includes :

- Modelling the stochastic behavior of various risk factors underlying derivative trades (e.g. FX, interest rates, equity, commodities)

- Programming of prototypes and production code (within an established C++ library)

- Addressing requests from various regulators, e.g. in the context of Basel 3

- Interaction with various internal stakeholders such as Credit Officers, Trade Analysis, IT

- Empirical analysis of financial data

- Collaboration with IT to deliver strategic implementation of complex risk and simulation systems

- Running and maintaining all processes for calibration of parameters and monitoring of Monte Carlo Risk Factor evolution Models used in exposure measurement globally.

- Perform analysis for failed trades in Monte Carlo Pricing Tool and suggest alternate solution to existing issue till final solution is implemented.

Other bespoke requests regarding exposure analysis for several audit or regulatory reports

You offer :

- Analytical/Numerical degree (physics/Mathematics/Engineering). CFA/FRM/CQF will be preferred

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

- Working knowledge of at least one of R, MATLAB, Python, Mathematica or C++ is a must

- VBA, SQL, and Office package is highly recommended

- Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.

- Being responsible for deliverables.

- Good Communication skills.

- Highly Detail Oriented and strong team player.

- Strong analytical and problem solving skills

- A pragmatic and solution-oriented working style and Willingness to work hands-on