Quantitative Developer (Exposure Modelling) VP Quantitative Developer (Exposure Modelling) VP …

Credit Suisse
in London, England, United Kingdom
Permanent, Full time
Be the first to apply
Competitive
Credit Suisse
in London, England, United Kingdom
Permanent, Full time
Be the first to apply
Competitive
Credit Suisse
Quantitative Developer (Exposure Modelling) VP
We Offer
The Exposure Analytics team is responsible globally for methodology, in-house development and production implementation of the Monte Carlo exposure models used by Credit Suisse to determine capital requirements for CVA and Default risk and to compute internal risk measures of Counterparty Credit Risk on derivatives positions.
A department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards.

We offer a challenging modelling role that includes:
  • Implementing and optimizing performance of models for derivatives pricing, evolution of stochastic risk factors across asset classes (e.g. FX, interest rates, equity, credit, commodities) and calibration processes within the C++/F# Quant Strats library
  • 3rd line support for advanced users
  • Interaction with internal partners such as Front Office, Credit Officers, Pre-trade Analysis, IT
  • Addressing requests from model validation, internal/external auditors and various regulators (e.g. in the context of Basel framework)


You Offer
  • You should have strong programming experience, particularly in C++. Other programming experience also desirable (e.g. F#, Python)
  • You have strong experience as a Quantitative Developer
  • You will have good knowledge of algorithms and data structures
  • You have experience in developing multithreaded applications.
  • You will have solid understanding of software lifecycle
  • You work well within a team and engenders good team ethics.
  • You have M.Sc. or Ph.D. in Computer Science, Mathematics, Engineering (or similar)
  • You have excellent problem solving and analytical skills.
  • Understands the value of diversity in the workplace and is dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work. This should be further elaborated on in your application


Credit Suisse is committed to providing equal employment opportunities, regardless of ethnicity, nationality, gender, sexual orientation, gender identity, religion, age, civil partnership, marital or family status, pregnancy, disability or any other status that is protected as a matter of local law

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