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Credit Risk Modeller - Economic Capital

Credit Suisse AG

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Credit Risk Modeller - Economic Capital

Credit Risk Modeller - Economic Capital #086071Schweiz-Region Zürich-Zürich|Vollzeit|Corporate Functions|

Stellen ID

086071English

We Offer


* The opportunity to work in the Credit Portfolio Methodology team in the area Credit Analytics of Credit Suisse's Chief Risk Officer division.
* A challenging role in Credit Portfolio modelling that includes:


* Being part of the strategic initiative to enhance the Group-wide Economic Capital framework
* Acting as member of the Credit Economic Capital methodology team
* Identification and definition of product-specific risk characteristics (trading book assets, retail and wholesale loans, OTC derivatives etc.)
* Mathematical design, calibration and prototyping of credit portfolio models
* Statistical analysis of internal and external data covering a wide range of credit risk types, including retail and wholesale lending, counterparty and traded credit risk
* Regular interaction with a wide range of stakeholders across the Bank, particularly from Market, Credit and Enterprise Risk Management, Front Office, Model Risk Management, Reporting, IT and Regulatory Coordination
* Model documentation


You Offer


* Excellent understanding of risk modelling in credit risk, credit business and/or financial markets in general.
* 3-5 years of relevant work or academic experience in credit risk modelling, ideally in credit portfolio/economic capital modelling or counterparty exposure modelling.
* Programming experience, particularly in statistical languages such as R or similar.
* Ability to communicate logically and precisely, including writing rigorous and clear mathematical model documentation.
* A pragmatic and solution-oriented working style and willingness to work hands-on.
* Fluent English skills are required. German knowledge is a plus.


*LI-CSJOB* *jobsch*Mr. J. Lindemannwould be delighted to receive your application:Please apply via our career portal