Credit Risk Modeler – Economic Capital

Zürich, Zurich, ch
Company: Credit Suisse
Category: Business and Financial Operations Occupations
Published on 2021-07-25 16:10:50

Your field of responsibility

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 Quantitative Strategies Group at Credit Suisse is a modelling, analytics and trading risk group whose mandate is to develop quantitative and technological solutions to solve complex business problems. The group develops and maintains a variety of quantitative analytics, including: pricing models; risk analytics; trader tools for risk management, hedging, and relative value; tools and techniques to optimize trading decisions across portfolio risks and capital.

Your field of responsibility

  • An exciting position as modeller to work within the Credit Portfolio Modelling team in Zurich on Credit Economic Risk Capital. Key responsibilities include:
  • Mathematical design, calibration, prototyping and production implementation of credit portfolio models.
  • Statistical analysis of internal and external data covering credit risk types.
  • Identification and definition of product-specific risk characteristics (Lombard loans, corporate lending and real estate financing, retail and wholesale loans, etc.).
  • Regular interaction with a wide range of business partners across the bank, particularly from Credit and Enterprise Risk Management, Front Office, Model Risk Management, Reporting, IT and Regulatory Coordination.
  • Your future colleagues

    You will join the team which brings together experts who create, unify and improve quant processes within the bank. As a member of dynamic and innovative team you will work closely with trading desk, risk managers and business management delivering strategic solutions. We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm’s D&I ambition which is an integral part of our global cultural values.

    Your skills and experience

    You have strong quantitative modelling skills and understanding of risk modelling in credit risk, credit business and/or financial markets in general. You have:

  • An advanced technical degree (PhD or Master’s degree e.g. in mathematics, physics or engineering or equivalent), ideally with a strong curriculum in statistics/econometrics, quantitative finance or computer science.
  • Programming experience, particularly in statistical languages such as R, Python as well as in C++.
  • Relevant work or academic experience in credit risk modelling, possibly in credit portfolio/economic capital modelling or counterparty exposure modelling, alternatively AIRB or provisioning models.
  • Results-oriented individual with the ability to work both independently and as part of a team in a flexible working environment.
  • Outstanding written and verbal communication, organization, and presentation skills in terms of both clarity and conciseness, including writing rigorous and clear mathematical model documentation.
  • Fluent English skills are required
  • Understands the value of diversity in the workplace and is dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work
  • Mr M. Payer would be delighted to receive your application.

    Please apply

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