We Offer The Risk Division is a highly visible, dynamic area of the firm where you can be an integral part of the decision making that supports the bank's business. Our responsibilities range from Enterprise Risk management to risk and finance reporting, and regional risk teams covering the risk management for our entities. The Risk division's long-term success depends on our ability to achieve our vision and fulfil our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and encourages leadership at all levels.
The VaR methodology team reports to the Chief Risk Officer and is responsible for:
Developing models to quantify market risk.
Making sure those models adhere to regulatory guidelines.
Implementing market risk models in IT systems.
Documenting models and analysis.
Establishing policies and processes covering market risk.
The VaR models are used for both internal risk management and calculating regulatory capital for market risk. The models are used globally across all legal entities and regulators.
The role is for a model developer within the Credit VaR methodology team, and the principle responsibilities include:
Develop and analyse new quantitative risk models for products in the Credit business, and ensure their correct implementation.
Review existing models to ensure they remain fit for purpose and make improvements where necessary.
Ensure all models are adequately documented (to SR11-7 standards) for both internal and external (e.g. regulatory) purposes.
Understand the products traded and trading strategies used, and be able to explain to various stakeholders.
Evaluate the impact of new models and capital rules.
Collaborate closely with the market risk managers during model design phase.
Collaborate closely with the model validation team to understand validation results and remediate concerns where necessary.
Collaborate with the data, IT, and change management teams to ensure that methodology changes are appropriately project-managed for implementation.
We want you to contribute your interpersonal skills to our team.
Open to discussing flexible/agile working.
You will have a degree in a highly numerate subject. Advanced degree (PhD, Masters or equivalent) is desirable.
You will have strong experience working with credit products. The role would suit a candidate with experience in quantitative risk measurement within an investment bank or, more broadly, with experience in a quantitative role within finance.
It is essential that you have a good understanding of credit products and the risks they generate.
A strong mathematical background is essential. In addition, the candidate should have good programming skills, ideally in Python and C#. Communication skills are also essential. The candidate should be able to explain complicated concepts clearly to all members of staff, and present their proposals in a clear and precise manner to senior management and regulatory bodies.
Competitive salary offered Closing date: 24th August 2019
Credit Suisse is committed to providing equal employment opportunities, regardless of ethnicity, nationality, gender, sexual orientation, gender identity, religion, age, civil partnership, marital or family status, pregnancy, disability or any other status that is protected as a matter of local law.
Internal Number: 6191394
About Credit Suisse
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