Sen. Risk Modeler

2 weeks ago

Mumbai, India Credit Suisse Full time

**Your field of responsibility**

The quant team in Mumbai is part of the global credit modelling team in QAT. We cover development of credit models including models used for Pillar 1 RWA and stress testing.

Your responsibilities include:

- Opportunity to participate in the development of models for credit parameters (PD/LGD) for use in regulatory capital calculations and stress testing
- Researching, developing, prototyping, and implementing new modelling, calculation, and reporting approaches in a continuous improvement cycle. This includes choosing statistical approaches, calibrating model parameters, addressing validation feedback and approaching governance committees for approvals
- Assess model performance by defining and performing quantitative / statistical tests and investigate mitigating actions as necessary
- Liaising internally with risk managers, including explaining model outputs, performing portfolio analysis, and answering technical or background questions on the models and requirements
- Produce high quality quantitative and statistical analyses to support discussions with regulators and senior stakeholders internally

**Your future colleagues**:
Core Credit Modelling QAT is a unit within the CRO Division. We are responsible for developing, maintaining and documenting models used to estimate credit risk. These activities involve frequent interaction with a number of significant stakeholders such as front office, credit risk management, financial accounting as well as auditors and regulators. We are 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 cultural values.

**Your skills and experience**
- Experience of PD/LGD models would be an asset. Experience in Basel II/III / stress-testing would be advantageous
- Strong experience/knowledge in at least some of the following areas:

- IRB PD/LGD modelling
- Credit risk stress testing models for scenario losses
- Regulatory framework and rules (e.g., BASEL, CCAR etc.)
- Statistical analysis
- Good programming skills (R, Python, Excel)
- Good communication skills (oral and written): Ability to communicate logically and precisely, including writing technical model documentations
- Quick learner, flexibility to adapt to change, and produce consistently high-quality analysis backed by data and sound judgment
- Highly detail oriented
- Exposure to the latest in credit risk modelling and regulatory requirements across regulators and business / geographies
- Dedication to fostering an inclusive culture and value diverse perspectives

**Your new employer**:
Find a new home for your skills, ideas, and ambitions. Credit Suisse offers you the ideal environment to progress your career, attractive benefits and excellent training.

We are a leading wealth manager with strong global investment banking capabilities founded in 1856. Headquartered in Zurich, Switzerland, and with more than 45,000 employees from over 150 nations, we are always looking for motivated individuals to help us shape the future for our clients.

Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success. We are committed to building a culture of inclusion with a deep sense of belonging for all of us. We will consider flexible working opportunities where possible. Our bank provides reasonable accommodations to qualified individuals with disabilities, as well as those with other needs or beliefs as may be protected under applicable local law. If you require assistance during the recruitment process, please let your recruiter know.

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