Credit Suisse - ENO Analyst - MRQ - Fundamental Review of Trading Book - Quantitative Impact Study

We offer :

The successful candidate will have the opportunity to:

Develop the Standard rules based methodology under FRTB (Fundamental Review of Trading Book) framework and ensure compliance with the latest regulatory rule set prescribed by BCBS (Basel Committee on Banking Supervision)

Participate in the QIS (Quantitative Impact Study) to estimate the Market Risk RWA impact for the firm under the proposed framework

In-depth analysis of various risk types (delta, vega and curvature) across multiple asset classes like Equity, FX, GIRR, Credit etc. covered under the sensitivities based approach of FRTB-Standard rules

Study the alternative methodology (Internal Models Approach) impacts and compare the results with the Standard Rules based method to arrive at an optimum level of capital utilizing both approaches

Ensure that process is adequately documented for both internal testing and further development purposes

Collaborate with the strategic stream - methodology developers, data streams, system owners and IT analysts to implement the model as it goes live

Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications

You offer :

At least 2 years of experience in quantitative market risk measurement within an investment bank or other financial institution; previous VaR experience is required

The candidate should have a first degree in mathematics, physics, econometrics, statistics or engineering.

A higher degree in one of those areas or in finance or a professional qualification e.g. CFA, FRM, PRIMA would be an advantage

General knowledge of risk issues and investment products, together with some programming skills would be also desirable

Good MS Excel and VBA skills are highly preferred. Experience in C# is highly valued

Ability to work well in a team and building relationships

Ability to produce high quality, accurate work, under pressure and to tight deadlines

Willingness to question and challenge the status quo and ability to provide alternative approaches