CVA Quant – Risk Methodology recruitment
The Department
Risk Methodology are responsible for the development and specification of quantitative methodologies used to measure market risk, including Value at Risk (VaR) and Credit Value Adjustment (CVA).
The Role
Your responsibilities will include:
- Understand the products traded and trading strategies used.
- Identify all sources of market risk in the context of CVA.
- Develop and specify the VaR model in the context of CVA.
- Understand and monitor the VaR model's performance.
- Collaborate closely with the Model Validation group to ensure that the risk sensitivities used for risk calculations are appropriate.
- Collaborate closely with the data team to ensure that the historical data used in VaR or ERC calculations are appropriate.
- Collaborate closely with the Strategic Change Management (SCM) team, to ensure that any changes to methodology are appropriately project-managed for implementation.
- Ensure that all risk models are adequately documented for both internal and external (e.g. regulatory) purposes.
To qualify for the position, you will need the following
- A strong academic background in a relevant technical degree from a top university, ideally with a relevant thesis or other analytic work.
- Experience in an Investment Bank
- Strong knowledge of financial products and/or CVA
- Excellent written and verbal communication skills
- High performance track record
You will be an individual who is:
- Proactive
- Self-motivated
- Enthusiastic
- A team player
- Analytical with an enquiring mind
- Practical
- Able to resolve issues.
- Able to see the big picture and take pragmatic decisions
As one of the world's leading financial services group, 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 40,000 people. Further information can be found at www.credit-suisse.com.
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.
Right place, perfect opportunity
www.credit-suisse.com/careers
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