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Credit Risk Quantitative Analyst

Mumbai, India | Credit Suisse

  • Industry:
    Banking / Investment Banking
  • Position Type:
  • Functions:
    Financial Services Professional
    Risk Management
  • Experience:
Job Description:
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Credit Risk Management Credit Analytics is a unit within the CRO Division. We are responsible for developing, maintaining and documenting the models and methodologies used to measure credit risk.

These activities involve frequent interaction with a number of significant partners such as front office, credit risk management, financial accounting as well as auditors and regulators.

Given improved regulatory scrutiny of large banks and changing business landscape, our area has seen a substantial increase in the number of credit risk models.

We are therefore looking to build our team to cope with the additional workload and at the same time remain dedicated.

Opportunity to work in the team that owns the FRTB DRC and Incremental Risk Charge (IRC) methodology and calculation. The IRC is a regulatory capital charge for credit risk in the trading book. It requires an internally designed calculation that meet regulatory standards.

Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle. This includes model parameters calibration, dealing with performance issues, and scheduling a formal IT update cycle.

Liaising internally with risk managers and Front Office clients, including explaining day-to-day movements, performing ad-hoc analysis and answering technical or background questions on the model and requirements.

Work closely with the IRC teams in London and New York on methodology development work.

Work with Risk IT who implements the methodology.

Produce analyses required for regulatory reporting and analyses requested by regulators

You Offer

Roles in Credit Analytics are technical and hence even for a managerial positions it will require you to be highly detail oriented and undertake hands-on tasks

Strong Quant skills and aptitude – We expect you to have deep understanding of Probability and Statistics / other quant concepts used in above areas

Good technical skills – exposure/hands on to at least one of the below programming language/database:

Programming and Algorithms: R, Python, Matlab, VBA etc.

Database and SQL: MS Access, MySQL, Oracle etc.

You have advanced degree in finance, mathematics, econometrics, engineering or other quantitative subject. You are able to demonstrate good conceptual understanding and are willing to deeply understand the Credit Risk Models in depth are welcome to apply as well

You have strong Communication skills (oral and written): Ability to communicate logically and precisely, including writing extended documentation

Highly Detail Oriented. This role requires you to be hand-on and able to drive end to end projects independently

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