Quantitative Risk Modeler – Counterparty Credit Risk #101912

  • Competitive
  • Zurich, Switzerland
  • Permanent, Full time
  • Credit Suisse AG
  • 19 Oct 17 2017-10-19

Quantitative Risk Modeler – Counterparty Credit Risk #101912

We Offer

  • A challenging role in the credit risk area as Quantitative Risk Modeler based in Zurich responsible for:
  • Development, prototyping, and implementation of methodologies for back testing of Monte Carlo counterparty credit risk models
  • Counterparty credit exposure calculations according to Basel 3 / CRD4
  • Responsibility for the development of capital relevant risk methodologies in the derivatives area for FINMA, PRA, and SEC
  • Possibility to support IT in the strategic implementation of complex risk and simulation systems
  • Close collaboration with several internal stakeholders around the globe (front office quants, financial accounting, CVA desk and other risk departments)
  • We are open to discussing flexible / agile working


You Offer
  • Master or PhD degree in a quantitative discipline (e.g. physics, mathematics, engineering, or computer science)
  • At least 2 years of relevant work or academic experience, ideally in the financial services industry (e.g. banking or insurance field)
  • Experience in at least one of the following topics: Statistical analysis, Monte Carlo simulations, derivative pricing / modeling, risk modeling, machine learning
  • Working knowledge of at least one programming language of C/C#/C++/Python/R is a must, VBA, SQL, and Office package is highly recommended
  • Excellent communication and presentation skills as well as strong team-player skills
  • Fluency in English is mandatory
*LI-CSJOB*
Mr. J. Lindemann would be delighted to receive your application.
Please apply via our career portal.