The Risk Methodology and Quantitative Analysis Team is looking to recruit an experienced Quantitative analyst (Counterparty Exposure management) to join their team in London.

ROLE SUMMARY:

The RMQA team is the quantitative team in Risk Measurement and Management that deals with the methodology and quantitative issues relating to market and credit risk. It is made up of four separate groups:

• Credit Exposure Measurement Group (CEMG), dealing with the potential counterparty credit exposure arising on OTC derivative transactions as a result of movements in the underlying market variables.
• Counterparty Exposure Monte Carlo Group, whose main responsibility is to develop the modelling framework underlying the Firm's counterparty exposure Monte Carlo engine
• Model Validation Group, the group's main role being to independently validate the models used by the firm for P&L and risk sensitivity reporting purposes. It is also a major participant in interdepartmental Model Valuation working groups which discuss and address current important valuation issues in the firm.
• Risk Methodology Group, being responsible for the specification of the methodology used for the calculation of VaR. Will also review the risk sensitivity specification and capture to ensure the appropriate modelling of trade risk and compatibility with the VaR model.

Being the main quantitative team in RMM, RMQA members will also provide quantitative support in any of the other RMM teams (RIM, Cluster risk managers, Scenarios, ERC and Time series database teams) that request their help in the areas of their expertise.

THE ROLE INVOLVES:

• Working closely with CEMG and Credit Risk Management to extend and improve the Monte Carlo coverage for counterparty exposure modelling.
• Being responsible for specifying and implementing pricing models in the Monte Carlo engine in order to increase coverage
• Develop risk factor evolution model for new asset classes in Monte Carlo
• Support Risk IT with day-to-day running of the Monte Carlo engine

The successful candidate will lead a team of two analysts.
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TO QUALIFY YOU WILL BE:

Graduate with Degree level (MSc or PhD) in a numerate subject

Have a Strong level of experience from working within financial services.

Have a thorough understanding of derivative pricing. Knowledge of the credit risks surrounding derivative products and how potential credit exposure is calculated would be an advantage.

Be able to rapidly grasp, apply and explain detailed technical concepts to other people less experienced than yourself or with less quantitative understanding.

Experience of programming (esp. VBA within Excel and a C++) .

Have a professional manner with good interpersonal and communication skills. You will be required to produce high quality work under pressure and to tight deadlines.

A proven track record for project delivery is essential which will have been gained over previous employment.

As one of the world's leading banks, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. Founded in 1856, Credit Suisse has a long tradition of meeting the complex financial needs of a wide range of clients, offering advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally. Credit Suisse is active in over 50 countries and employs approximately 46,000 people. Further information can be found at www.credit-suisse.com.

Cultural diversity is essential to our success. As such, we employ people from more than 100 countries. Credit Suisse empowers employees to work openly and respectfully with each other and with clients, ultimately striving to deliver superior results while offering initiatives and programs to assist employees achieve a healthy work-life balance.

Right place, perfect opportunity
www.credit-suisse.com/careers

Credit Suisse is an Equal Opportunity Employer and does not discriminate in its employment decisions on the basis of any protected category.

To the extent permitted or required by applicable law, a candidate who is offered employment will be subject to a criminal record check and other background checks before the appointment is confirmed.