eFinancialCareers

• Company

  Credit Suisse

• Location

  UK-London

• Compensation

  Competitive

• Position Type

  Permanent

• Employment type

  Full time

• Updated

  24 Nov 2009

• eFC Ref no

  586849

The Risk Measurement & Management (RMM) team in London are looking for an experienced quantitative risk analyst.

The Risk Methodology & Quantitative Analysis team is the quantitative team in Risk Measurement and Management (RMM) that deals with the methodology and quantitative issues relating to market and credit risk. It is made up of three separate groups:
Credit Exposure Management Group, dealing with the potential counterparty credit exposure arising from derivative transactions and resulting from market shifts.
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.

The Risk methodology team's main responsibility is the specification, maintenance and validation of the Firm's VaR calculation model and ERC model for traded risk. That involves:

Identifying weaknesses or need for the enhancement of the model
Review and investigate issues, development of solutions, testing and specification of improvements.
Presentation of improved proposals to internal (cluster managers, senior management) and external (regulators) clients.
Validation of the implementation of the specification
Overview of the rolling out of the revised methodology to risk reporting.

Members of the team are also, periodically, requested to sign off the appropriateness and completeness of risk capture from portfolios under review or new trades/business. They must ensure that the information captured is adequate for the satisfactory capture of the generated market risk and is also suitable for use by the VaR model or for scenarios or other monitoring tools.

A suitable candidate would have a first degree in mathematics, theoretical physics, statistics or engineering followed by a PhD / MSc in one of those areas or finance.
A very strong mathematical background is essential. In addition a background in mathematical statistics, time series analysis and probability theory would also be of particular interest.
It is essential that the candidate has a good understanding of financial mathematics and has developed an intuition about derivative instruments and the risks they generate. He also needs to understand the effects and relative importance of the underlying risk factors parameters to the value of the instruments.
It is highly desirable that the candidate would have market experience in market or credit risk.
Problem solution skills as well as presentation and communications skills are essential. The candidate should be able to explain complex concepts to non-technical members of staff as well as present their proposals in a clear and precise manner to senior management the front office and the regulators
.

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.