Economic Risk Capital (ERC): Quantitative Developer

Job description

Economic Risk Capital (ERC): Quantitative Developer

Credit Suisse Company Overview

Credit Suisse is a leading global wealth manager with strong investment banking and asset management capabilities. Founded in 1856, Credit Suisse has expanded to be a global force employing over 45,000 people in 50 countries. With new leadership, a new strategy and a streamlined global organization, we are set for growth. We partner across businesses, divisions and regions to create innovative solutions to meet the needs of our clients—and to help our employees grow. It is a high priority for us to continually invest in our employees by providing ongoing opportunities for training, networking and mobility. Join us and let's shape the future of Credit Suisse together.

We Offer...

An opportunity to play a pivotal role to develop ERC (Economic Risk Capital) Methodology within Enterprise Risk Management. The team is responsible for developing the methodology for many of the components of the bank’s Economic Capital model. ERC is currently undergoing an extensive develop programme to improve the risk capture and sophistication of the models for it to become one of the primary metrics for strategic decision making, performance management, capital allocation and risk management.

 

 

The successful candidate will have the opportunity to:

·  Play a central role in the development of a ‘best in class’ Economic Capital model.
·  Work in a team of quantitative developers responsible for implementing and maintaining ERC models in an IT prototype environment, using C#.
·  Depending on the successful candidate’s profile, this will likely include direct management responsibilities.
·  Oversee the design and implementation of a new ERC Expense risk model, ensuring alignment with the firm’s CCAR modelling approach.
·  Provide steer and leadership w.r.t. proposals and ideas for design and code changes required for implementation of new requirements.
·  Proactively contribute towards proposals for methodology enhancements.
·  Oversee the development of unit tests for changes.
·  Develop successful partnerships with counterparties in enterprise/credit/market/operational risk in terms of requirements explanation and validation (e.g. understanding of the models, their scope and any model assumptions and/or limitations).
·  Take an active interest in data sourcing & work with data teams to achieve further automation. Proactively drive this forward.

You Offer...

·  Experience in quantitative risk measurement within an investment bank or other financial institution.
·  The candidate should have a first degree in mathematics, physics, econometrics, statistics or engineering and a higher degree in one of those areas or in finance / IT.
·  A professional qualification e.g. CFA, FRM, PRIMA would be an advantage.
·  Candidates are required to have programming experience using C# and knowledge of R and Python is preferred.
·  General knowledge of risk issues and investment products.
·  Experience in methodology documentation is highly valued.
·  Ability to produce high quality, accurate work, under pressure and to tight deadlines.
·  Willingness to question and challenge the status quo and ability to provide alternative approaches.

 

Mr. S. Grunder would be delighted to receive your application.

Please apply via our career portal.

EEO Statement

Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.

Desired profile

You Offer...

·  Experience in quantitative risk measurement within an investment bank or other financial institution.
·  The candidate should have a first degree in mathematics, physics, econometrics, statistics or engineering and a higher degree in one of those areas or in finance / IT.
·  A professional qualification e.g. CFA, FRM, PRIMA would be an advantage.
·  Candidates are required to have programming experience using C# and knowledge of R and Python is preferred.
·  General knowledge of risk issues and investment products.
·  Experience in methodology documentation is highly valued.
·  Ability to produce high quality, accurate work, under pressure and to tight deadlines.
·  Willingness to question and challenge the status quo and ability to provide alternative approaches.