Risk Modeler

2 weeks ago

Mumbai, India Credit Suisse Full time

**Your field of responsibility**

You will be part of Core Credit Modelling - Quantitative Analysis & Technology (QAT) team which is responsible for credit risk models used for capital / stress testing.

In this particular role we offer
- Opportunity to participate in the development of credit risk PD/LGD/CCF models for AIRB and stress testing
- Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle
- Liaising internally with risk managers, including explaining model outputs, performing ad-hoc analysis and answering technical or background questions on the models and requirements
- Work on implementation of new methodologies in risk platforms including liaising with IT and vendors when necessary
- Produce analyses required for various regulatory discussions including topics related to model methodology, benchmarking, driver analysis, etc. Perform self-assessments against regulations to ensure model compliance

**Your future colleagues**:
Core Credit Modelling - Quantitative Analysis & Technology (QAT) is a unit within the CRCO 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 business partners such as front office, credit risk management, validation as well as auditors and regulators. Given improved regulatory scrutiny of large banks and changing business and regulatory 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 proactive.

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**

To excel in this role, you should possess:

- Proven experience/knowledge in at least some of the following areas (in quant space): AIRB - LGD, PD and CCF Modelling, Regulatory framework and rules (e.g. BASEL, CCAR etc.), Credit Portfolio Modelling - Default and Migration Risk, Risk Scenarios and Stress Testing, and Back-Testing. Some experience in bank regulatory capital, Basel II/III, stress-testing would be advantageous
- Outstanding Quant skills and proficiency - you should have good understanding of probability and statistics / other quant concepts used in above areas is essential
- Proficient in technical skills - exposure to one or more of the following programming language/database: Programming and Algorithms: R, SAS, Python VBA / advanced Excel, etc // Database and SQL: MS Access, MySQL, Oracle etc.
- Team management experience would be a plus
- Result oriented, dedicated, hardworking who can work on own initiative and can deliver on time under pressure with a high level of integrity and flexibility, sense of urgency, attention to detail and quality standards
- 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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