Quantitative Analyst
London (Greater London) IT development
Job description
Quantitative Analyst
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...
The opportunity to work for the team responsible for developing and implementing the Monte Carlo models used by Credit Suisse for the calculation of CVA and Default risk capital, as well as for the monitoring of counterparty exposure against the bank’s limits.
The opportunity to play a key role in the Strategic-EPE programme of Credit Suisse, aimed at re-defining the exposure methodology of the bank and implementing it on the new Front-to-Back infrastructure.
A challenging modelling role that includes:
· Modelling the joint evolution of the stochastic risk factors underlying derivative trades across asset classes (e.g. FX, interest rates, equity, credit, commodities, inflation) and dynamic modelling of collateral.
· Developing derivatives pricing models for cleared derivatives.
· Development of production implementation of models within Credit Suisse integrated Front-to-Back infrastructure.
· Interaction with internal stakeholders such as Front Office, Credit Officers, Pre-trade Analysis & IT.
· Addressing requests from regulators and support the model submission work.
You Offer...
· M.Sc. or Ph.D. in Phyics, Engeneering, Quantitative Finance or similar.
· At least 3-5 years of experience in a quantative role in Finance, e.g. derivatives pricing or risk modelling.
· Knowledge and experience with Counterparty Credit Risk (Nice to have).
· Programming experience, particularly in C++ and ideally with exposure to quant libraries. Other programming knowledge also desirable (e.g. R, Python, VBA, Matlab, C#).
· Solid analytical and problem solving skills.
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...
· M.Sc. or Ph.D. in Phyics, Engeneering, Quantitative Finance or similar.
· At least 3-5 years of experience in a quantative role in Finance, e.g. derivatives pricing or risk modelling.
· Knowledge and experience with Counterparty Credit Risk (Nice to have).
· Programming experience, particularly in C++ and ideally with exposure to quant libraries. Other programming knowledge also desirable (e.g. R, Python, VBA, Matlab, C#).
· Solid analytical and problem solving skills.