Model Performance Monitoring

Credit Suisse
Mumbai, India
Sep 22, 2019
Sep 25, 2019
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
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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