Risk Modeler ENO-AVP

☞ Credit Suisse

View: 101

Update day: 06-05-2024

Location: Mumbai Maharashtra

Category: Accounting / Auditing Finance / Bank / Stock Education / Training

Industry: Financial Services

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Job content

Your field of responsibility

You will work within the Core Credit Modelling – Quantitative Analysis & Technology (QAT) team which is responsible for credit risk models used for RWA and 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.
  • Coordinating internally with risk managers, including explaining model outputs, performing ad-hoc analysis and answering technical or background questions on the models and requirements.
  • Opportunity to work on evolving topics such as climate risk depending on relevant expertise
  • Work closely with the global Core Credit Modelling team on various project aspects.
  • Work on implementation of new methodologies in risk platforms including liaising with IT teams when necessary
  • Seek to produce analyses required for regulatory reporting and analyses requested by regulators. Perform self-assessments to ensure that models satisfy various regulatory requirements.

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, financial accounting as well as auditors and regulators. Given enhanced 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 the team to cope with the additional workload and at the same time remain proactive.

The department 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

You are expected to possess the below:

  • Roles in QAT are technical and hence even for a managerial position it will require candidates to be highly detail oriented and undertake hands-on tasks
  • Experience of PD, LGD and CCF models would be an asset, preferably from within a risk management department. Some experience in bank regulatory capital, Basel II/III, stress-testing would be a plus
  • Proficient 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.
  • Outstanding quant skills and aptitude – solid grasp of probability and statistics / other quant concepts used in above areas
  • Good technical skills – exposure to one or more of the below programming language/database: Programming and Algorithms: R, SAS, Python VBA / advanced Excel, etc.Database and SQL: MS Access, MySQL, Oracle etc.
  • Advanced degree in finance, mathematics, econometrics, statistics, engineering or other quantitative subject, if you are from any other stream you should be able to demonstrate good conceptual understanding and are willing to understand the stress testing framework in depth and are can apply as well
  • Outstanding written and verbal communication skills, ability to communicate logically and accurately, including writing extended documentation
  • Highly detail oriented as this role requires hand-on approach along with management oversight
  • Team management experience would be advantageous
  • 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
  • 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

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. 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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Deadline: 20-06-2024

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