Model Performance Monitoring Model Performance Monitoring …

Credit Suisse
in Mumbai, Maharashtra, India
Permanent, Full time
Last application, 22 Aug 19
Competitive
Credit Suisse
in Mumbai, Maharashtra, India
Permanent, Full time
Last application, 22 Aug 19
Competitive
Credit Suisse
Model Performance Monitoring
We Offer
This is a Quant role in CCR Methodology, Model Performance Monitoring division with focus on:

  • A challenging role in the newly established Model Performance Monitoring team located in Mumbai as an Investment Banking Risk with the possibility to be part of a growing area right from the beginning. The team will be responsible for the model performance monitoring for all credit risk models owned by Credit Analytics
  • Development, prototyping and back-testing of Monte Carlo Credit Exposure Models including collateral modeling
  • Responsible for the generation and presentation of model performance reports for senior management, regulators as well as internal and external audit
  • Possibility to support the IT strategic implementation of complex risk and simulation systems
  • Close interaction with various partners including model owners and credit officers in order to generate valued reports on the model performance of credit risk models
  • Other bespoke requests regarding exposure analysis for several audit or regulatory reports. Preparing, processing and querying large amount of financial data
We are seeking a quantitative analyst with excellent technical skills and some prior experience of quantitative credit risk and derivatives products.

You Offer
You are able to demonstrate the following qualifications and competencies:

  • You have experience/Knowledge with at least one of the following
  • OTC Derivatives, Secured Financing Transactions
  • Pricing models
  • Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)
  • Analytical skills /Numerical degree (physics/Mathematics/Engineering). CFA/FRM/CQF will be preferred.
  • You have a very good programming skills, eg. R, MATLAB, Python or C++, VBA, SQL, and Office package is highly recommended (any of them, R preferred)
  • You have deep knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.
  • You are responsible for deliverables. A winning personality, conceptual and strong communication skills.
  • You are highly Detail Oriented and strong team-players.
  • You have excellent analytical skills, especially with regards to financial analysis.
  • Flexibility and the ability to work in a diverse environment.

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