The Risk Department is looking for Incremental Risk Analyst to join the team in London.

ROLE SUMMARY:

An opportunity exists within Credit Suisse?s Risk Measurement and Management department (RMM)
for a suitably qualified analyst to manage implementing and running the Incremental Risk Charge (IRC).
The IRC is a new regulatory capital requirement requiring an internally designed calculation that must
meet regulatory standards. We are looking for a capable credit risk quantitative analyst to maintain and
develop this calculation.

THE ROLE INVOLVES:

In order to attract a mix of candidates, the specification is stated flexibly in terms of a core range of
(mostly technical) responsibilities, with additional responsibilities expected of a more senior candidate.
Core responsibilities
• Liaising internally with business managers within RMM to help make IRC transparent to front office
clients, including explaining day-to-day movements, performing ad-hoc analysis and answering
technical or background questions on the model and requirements.
• Improving IRC delivery including designing and maintaining appropriate reporting and analysis tools.
• Improving core IRC calculation, including adjusting model parameters, dealing with performance
issues, assisting management in improving the calculation algorithm (e.g. making the calculation
faster), and scheduling a formal IT update cycle.
• Maintaining comprehensive documentation for the model and its implementation and assisting in
regulatory dialogue (e.g. by preparing presentations on the model).
Senior version of role
• Taking full ownership of the model including both technical and business liaison aspects (e.g.
dealing with internal and regulatory correspondence on the model).
• Researching, developing and implementing new modelling, calculation and reporting approaches in
a continuous improvement cycle, including liaising with peer institutions and attending industry
working groups as appropriate.
• Participating on related areas (such as economic capital modelling) and being available as a senior
credit quant resource within RMM.
The seniority of the role depends on the candidate. The more senior candidate would be expected to
be capable of owning all aspects of IRC model, calculation and process, including regulatory liaison,
without detailed management, while in the more junior version of the role, more responsibility for the
IRC model would remain with line management.

RMM is responsible for measuring and reporting credit, market and operational risk for Credit Suisse. A
key role of RMM is to design, implement and maintain regulatory capital calculations, where Credit
Suisse has obtained permission to use an internal model for such calculations. Current examples
include Credit Suisse?s VaR model, the calculation of Operational Risk under the AMA approach, and
provision of PD, LGD and EAD parameters for the AIRB approaches under Basel II.
The IRC is a new regulatory capital charge for default and migration risk associated with positions in
the trading book, supplementing VaR. It represents one of the final aspects of the Basel II reforms and
will be required from 1 January 2010. Credit Suisse intend to use an internal model to calculate IRC
and accordingly, RMM have specified and implemented an appropriate model. We are now seeking an
experienced analyst to act as owner and point of contact for the IRC calculation from go-live.

TO QUALIFY YOU MUST POSSESS:

Core requirements
• Real mathematical ability. Good knowledge of statistics and financial mathematics.
• Experience of credit risk portfolio models, preferably from within a risk management department.
• Understanding of the Basel II Accord and the background to the IRC requirement.
• Ability to communicate logically and precisely, including writing extended documentation.
More senior version of role
In addition to the above:
• Previous success as the designer and owner of technical models, ideally connected with regulatory
capital calculations. Proven excellence applying quantitative ideas to financial problem solving.
• Extensive financial services experience (5 years +) including experience of working with regulators.

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.