• Credit Risk Modeller - Economic Capital Jobs in Mumbai,India

  • Credit Suisse Securities (India) Pvt Ltd
  • Save Job
  • 4 - 7 Years
  • Posted : above 1 month

Job Description:

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

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

We Offer

Opportunity to work in the team located in Mumbai which is responsible for the Credit Economic Risk Capital (CERC) methodology and calculation The CERC is a part of the capital framework model for measuring potential unexpected loss in economic value of the Groups portfolio of financial positions due to credit risk

Statistical analysis of internal and external data covering a wide range of credit risk types, including retail and wholesale lending, counterparty and traded credit risk

Identification and definition of product-specific risk characteristics (trading book assets, retail and wholesale loans, OTC derivatives etc)

Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle for credit portfolio models

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 Producing analysis required for validation/audit/regulatory reporting

Work closely with the CERC teams in Zurich and IRC teams in Mumbai/Zurich on methodology development work Work with Risk IT who implements the methodology

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

You have 4 years of relevant work or academic experience in credit risk modelling, like portfolio/economic capital modelling or counterparty exposure modelling Deep understanding of risk modelling in credit risk, credit business and/or financial markets in general

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

You have good technical skills exposure/hands on to at least one of the below programming language/database

Programming and Algorithms R, Python, Matlab, etc

Database and SQL MS Access, MySQL, Oracle etc

You have advanced degree in finance, mathematics, statistics, econometrics, engineering or other quantitative subject

You are able to demonstrate deep understanding and are willing to 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

Strong ability to write rigorous and clear mathematical model documentation

Profile Summary:

Employment Type : Full Time
Eligibility : Any Graduate
Industry : Financial Services/Stockbroking, Banking
Functional Area : IT Software : Software Products & Services
Role : Software Engineer
Salary : As per Industry Standards
Deadline : 11th Mar 2020

Key Skills:

Company Profile:

Credit Suisse Securities (India) Pvt Ltdarfix

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