Credit Suisse - ENO - Credit Risk Methodology

ENO - Credit Risk Methodology

You offer :

Running and maintaining all processes for calibration of parameters of Monte Carlo Tool used in exposure measurement globally.

These tools are in place to :

- Calculate various parameters like Volatility, Correlation etc. for particular asset classes,

- Assess materiality of non-simulated risk factors.

- Perform analysis for failed trades in Monte Carlo Pricing Tool.

- Monitoring large and important long term maturity trades.

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

We offer :

Should have experience with at least one of the following :

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

- Pricing models

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

- Financial Mathematics

- MBA/Analytical/Numerical degree

- Should have knowledge of basic programming, algorithm.

- 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.

- Good MS Access, Python, Matlab/Mathematica skills

- Good VBA & SQL knowledge