Counterparty Derivatives Exposures Modeler

Credit Suisse
New York, USA
Jan 15, 2021
Jan 22, 2021
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Credit Suisse is a leading global wealth manager with strong investment banking capabilities. Headquartered in Zurich, Switzerland, we have a global reach with operations in about 50 countries and employ more than 45,000 people from over 150 different nations. Embodying entrepreneurial spirit, Credit Suisse delivers holistic financial solutions to our clients, including innovative products and specially tailored advice. Striving for quality and excellence in our work, we recognize and reward extraordinary performance among our employees, provide wide-ranging training and development opportunities, and benefit from a diverse range of perspectives to create value for our clients, shareholders and communities. We are Credit Suisse.

We Offer
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.

Exciting role in our Trade Analysis team is an integral part of Counterparty Exposure Modelling function under CRO division. This role based in New York will cover US IB business, working in close association with global teams based in New York, Zurich, Singapore, and Mumbai. This role will sit alongside Credit Risk Managers in NY and will have technical advisory responsibilities for business, risk officers and senior partners across the bank.

  • Perform accurate quantitative analysis on new and existing trades, calculating Potential Future Exposure (PFE), Expected Positive Exposure (EPE) and Initial Margin (IM) for derivatives portfolio covering Rates, FX, Equity, Credit, Inflation, and Commodity.
  • Calculate haircuts for Security Financing transactions (Securitized Products, Corp. and Sovereign Bonds, and Equities).
  • Coordinate with Front Office (Sales & Trading, Prime Risk, Portfolio and XVA Management) and Credit Officers for exposure calculations and risk driver explanations.
  • Identify limitations and discuss proactively with Methodology teams to come up with appropriate solutions.
  • Experience in Basel Regulatory Exposure and Capital requirements like PFE, EPE, Default and CVA RWA. Working knowledge of FINMA regulatory standards.
  • Interest and understanding of industry wide regulatory reforms like BCBS IOSCO, Standard IM Model (SIMM), Dynamic Initial Margin (DIM), Clearing House mandates etc.
  • Tactical solutions and tools for Pre-Trade Analysis and complex transaction reviews.

You Offer
  • 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.
  • Qualification in a quantitative subject in Mathematics, Engineering, Physics or Computational Finance or equivalent experience.
  • Excellent derivative product knowledge and counterparty credit risk methodologies.
  • Proven understanding of Monte Carlo exposure models, Credit and Market risk concepts, pricing and risk measures.
  • 5-7 years of experience working in a Quantitative Risk role preferred, experience in Structuring, Desk Quant or Model Validation will be considered.
  • Outstanding written and verbal communication skills.
  • Programming knowledge (e.g. Excel VBA/Macros, R, Matlab, C#) is essential.
  • CFA or other professional qualifications preferred.
  • Knowledge of Bloomberg and Reuters terminals is a plus
  • Hardworking, result oriented with good interpersonal and organizational skills.

Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success. Credit Suisse complies with applicable federal, state, and local laws prohibiting discrimination in employment in every jurisdiction in which it maintains facilities. Subject to applicable law and regulatory requirements, Credit Suisse complies with state and local laws regarding considering for employment qualified individuals with criminal histories.

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