Credit Suisse - Senior Credit Risk Quantitative Analyst

We offer:

- Opportunity to participate in the development of state of the art stress testing models for wholesale credit risk

- Involvement in the delivery of an ambitious CCAR program

- Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle. This includes adjusting model parameters, dealing with performance issues, and scheduling a formal IT update cycle.

- Liaising internally with risk managers and Front Office clients, including explaining model outputs, performing ad-hoc analysis and answering technical or background questions on the models and requirements.

- Work closely with the IB Parameters team on methodology aspects.

- Work with Risk IT in the implementation of new methodologies.

- Produce analyses required for regulatory reporting and analyses requested by regulators.

You offer:

- 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

- 5+ years- experience in quantitative risk management in financial services.

- Experience of PD, LGD and CCF models would be an asset, preferably from within a risk management department. Some experience in bank regulatory capital, Basel II/III would be advantageous

- Ability to communicate logically and precisely, including writing extended documentation

- Familiarity with programming (preferably in R) and understanding of IT implementation / infrastructure, as this role needs to liaise with Risk IT

- Previous experience in Team Lead role will be advantageous - role requires the candidate to take full responsibility of the investment bank stress testing methodology for the Investment Bank