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Equity & Credit Market Risk Methodologist # 130427

London, United Kingdom, £ £ - Annual Annual, Permanent


We Offer
The Risk Division is a highly visible, dynamic area of the firm where you can be an integral part of the decision-making that supports the bank\'s business. Our responsibilities range from Enterprise Risk management to risk and finance reporting, and regional risk teams covering the risk management for our entities. The Risk division\'s long-term success depends on our ability to achieve our vision and fulfil our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and encourages leadership at all levels.

The VaR methodology team reports to the Chief Risk Officer and is responsible for:

  • Developing models to quantify market risk
  • Making sure those models adhere to regulatory guidelines
  • Implementing market risk models in IT systems
  • Documenting models and analysis
  • Establishing policies and processes covering market risk
The VaR models are used for both internal risk management and calculating regulatory capital for market risk. The models are used globally across all legal entities and regulators.

Our Team:

The role is for a model developer within the Equities & Credit VaR methodology team, and the principle responsibilities include:
  • Develop and analyse new quantitative risk models for products in the Equities and Credit business, and ensure their correct implementation
  • Review existing models to ensure they remain fit for purpose and make improvements where necessary
  • Ensure all models are adequately documented (to SR11-7 standards) for both internal and external (e.g. regulatory) purposes
  • Understand the products traded and trading strategies used, and be able to explain to various business partners
  • Evaluate the impact of new models and capital rules
  • Collaborate closely with the market risk managers to ensure that their concerns are appropriately reflected in the models
  • Collaborate closely with the model validation team to understand validation results and remediate concerns where necessary
  • Collaborate with the data, IT, and change management teams to ensure that methodology changes are appropriately project-managed for implementation

Open to discussing flexible/agile working.

You Offer
You will have a higher degree (PhD, Masters, or equivalent) in a highly numerate subject or equivalent work experience. She / he should also have solid commercial experience working with equity and/or credit products. The role would suit an individual with experience in quantitative risk measurement within an investment bank or, more broadly, experience in a quantitative role within finance. You will have a very good understanding of structured equity products and the risks they generate.

A strong mathematical background is needed. In addition, you should have good programming skills, ideally in Python and C#. Communication skills are also essential, we want you to contribute your interpersonal skills to our team. You will be able to explain complicated concepts clearly to all members of staff, and present your proposals in a clear and precise manner to senior management and regulatory bodies.

Credit Suisse is committed to providing equal employment opportunities, regardless of ethnicity, nationality, gender, sexual orientation, gender identity, religion, age, civil partnership, marital or family status, pregnancy, disability or any other status that is protected as a matter of local law.

Job Details

Wed, 08 May 2019 19:00:00 EST
Not Specified
London, United Kingdom
£ £ - Annual Annual