Counterparty Credit Risk – Quantitative Analyst recruitment
Counterparty Credit Risk Quant
This is a great opportunity to work on a high profile, business critical project with significant intellectual challenges. Where you will obtain exposure to a wide range of CS functions and areas - good performance will undoubtedly open up a variety of future opportunities, either within Credit Risk Analytics or outside.
Due to the recent departure of a key team member, we are looking to recruit a high quality quantitative analyst with significant experience in the counterparty credit risk space
Credit Suisse
As one of the world's leading financial services groups, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. Founded in 1856, Credit Suisse has a long tradition of meeting the complex financial needs of a wide range of clients, offering advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally. The Credit Suisse Group is active in over 50 countries and employs approximately 50,000 people. Further information can be found at credit-suisse.com.
Your skills and qualifications will ideally include:
- PhD in a quantitative subject.
- Good knowledge of Monte Carlo simulation models, derivative pricing models and model calibration methodologies.
- Solid understanding of counterparty credit risk methodologies and the related regulatory requirements.
- Good project management skills.
- Experience of working on highly pressured time critical projects whilst retaining the ability to deliver high quality work.
- Good interpersonal skills
Your main responsibilities will involve:
• Taking a leading role in extending the bank's Monte Carlo coverage, including its extension to collateralised trades.
• This will involve the identification of the appropriate modeling approaches and the internal validation of the chosen approaches, liaison with the independent model validation function, and providing input to the internal governance process and the external regulatory process.
• Implementation of a Monte Carlo model for collateralised OTC derivatives
• Development of an exposure model for the PAF2 transaction
• Development and implementation of improved versions of the fallback models (particularly Enhanced Factor)
• Obtains a detailed understanding of the MARS framework for collateralised trades and SFTs
What we will be looking for in you:
• Challenge the status quo and bring new ideas to drive process improvements.
• First-class communication skills
• Outstanding organisational abilities it takes to continuously deliver high quality work, even in high pressure situations.
Contact:
Right place, perfect opportunity
credit-suisse.com/careers
Cultural diversity is essential to our success. As such, we employ people from more than 100 countries. Credit Suisse empowers employees to work openly and respectfully with each other and with clients, ultimately striving to deliver superior results while offering initiatives and programs to assist employees achieve a healthy work-life balance.
Credit Suisse is an Equal Opportunity Employer and does not discriminate in its employment decisions on the basis of any protected category.
To the extent permitted or required by applicable law, a candidate who is offered employment will be subject to a criminal record check and other background checks before the appointment is confirmed.