23 days ago

Quantitative Analyst - Counterparty Credit Risk

Credit Suisse AG

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Quantitative Analyst - Counterparty Credit Risk

Quantitative Analyst - Counterparty Credit Risk # 094888Schweiz-Switzerland - Region Zurich-Zürich | Vollzeit |
Corporate Functions |

Stellen ID

094888English

We Offer

- Exiting role in Trade Analysis - Credit Analytics is an integral part of Counterparty Credit Risk function under CRO
division. This role based in Zurich will cover Swiss business in both Private and Investment Banking, in close
association with global teams based in Singapore, London, New York and Mumbai
- Perform accurate quantitative analysis on new and existing trades and portfolios, calculating Potential Future
Exposure (PFE), Expected Positive Exposure (EPE) and Initial Margin (IM) / Haircut for
- Derivatives portfolio covering Rates, Inflation, FX, Commodity, Credit and Equity
- Security Financing (Repo and Lending/Borrowing)
- Calculate Loan-To-Value / Haircuts for Equity Financing transactions covering Investment and Private Banking
- Liaise with Front Office (Sales & Trading, Prime Risk, Portfolio and XVA Management) and Credit Officers for
exposure calculations and explanations
- Understanding of Basel Regulatory Capital requirements around PFE, EPE, Default and CVA RWA
- Tactical solutions and tools for Pre Trade Analysis and complex transaction reviews

You Offer

- M.Sc. or equivalent degree in Mathematics, Physics, Computational Finance or a relevant subject
- 2-3 years of working experience in a Quantitative Risk role
- Understanding of MonteCarlo simulation models, Value-at-Risk, Market risk management and Counterparty Credit Risk
- Keen interest in Global Capital Markets and Risk Management
- CFA, FRM, PRM qualifications desirable
- Programming experience (e.g. Excel VBA/Macros, R, Matlab, C#) preferred
- Fluency in English
- Preference will be given to candidates already located in Switzerland

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