Credit Risk Modeller - Economic Capital

Credit Suisse AG

  • Work region
  • Sector
  • Employment type
  • Position

 Please refer to in your application

Credit Risk Modeller - Economic Capital

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

Stellen ID


We Offer

- The opportunity to work in the Credit Portfolio Methodology team in the area Credit Analytics of Credit Suisses
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
- 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. Lindemann would be delighted to receive your application:Please apply via our career portal