Quantitative Developer

Job description

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...

The opportunity to work for the team responsible for developing and implementing the Monte Carlo models used by Credit Suisse for the calculation of 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 development role that includes:

·  Implementing models for derivatives pricing, evolution of the stochastic risk factors across asset classes (e.g. FX, interest rates, equity, credit, commodities, inflation) and dynamic modelling of collateral within Credit Suisse integrated Front-to-Back infrastructure
·  Improve the software development framework to extend automation and reporting for the library of:
·  regression tests
·  distribution packages
·  performance profiling
·  3rd line support for advanced users
·  R&D in new technologies to evolve platform
·  Interaction with internal stakeholders such as Front Office, Credit Officers, Pre-trade Analysis, IT

You Offer...

·  M.Sc. or Ph.D. in Computer science, mathematics or engineering (finance background is not mandatory)
·  Solid understanding of software lifecycle
·  Programming experience, particularly in C++. Other programming experience also desirable (e.g. F#, Python, VBA, C#)
·  Ability to write rigorous and clear documentation
·  Fluency in English as well as good communication skill
·  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 Computer science, mathematics or engineering (finance background is not mandatory)
·  Solid understanding of software lifecycle
·  Programming experience, particularly in C++. Other programming experience also desirable (e.g. F#, Python, VBA, C#)
·  Ability to write rigorous and clear documentation
·  Fluency in English as well as good communication skill
·  Solid analytical and problem solving skills