Your field of responsibility
The Trade analysis team looks into performing pre-trade exposure calculations for live trades. This includes portfolio impacts (PE & EPE), haircut/initial margin recommendations, and in-depth analysis of structured deals. The exposures are used to ascertain credit charges and to understand the impact of new trades on regulatory capital as well as for monitoring exposure against counterparties by CRM.
The Trade analysis team is also responsible for ascertaining and publishing Loan-to-Values (LTV) for collateral backed lending business. Work with Traders and CRM in addressing and improving the standard LTV methodologies
. In our team you will calculate credit risk for live trade across all markets (FX, rates, equities, fixed income, commodities, etc.) and financial products (loans, derivatives)
. Work on pre-trade requests on Lombard business by providing LTVs of Hedge Funds, Investment Funds, Structured Products, Money Market Instruments, Equity and Fixed Income to support the Lombard Lending business.
. Check for any discrepancy between pre and post trade analysis. In case of discrepancies, should be able to provide/suggest economic risk by modelling the trade exposure. Should be open to provide stop gap solution.
. Communicate with CRM and FO to explain credit risk issues and the need for potential ad-hoc improvements
. Maintain and develop the methodology on the Risk Grids-Publishing the same on the RiskNet.
. Ensuring that pre trade exposure calculation tools are improved to be in line with the latest changes in methodology.
Your future colleagues
Credit Suisse's Credit Risk Management (CRM) department within the Chief Risk Officer (CRO) division is responsible for credit risk-related methodologies. The Credit Analytics team in CRM has specific responsibility for development of models to capture such risks within regulatory guidelines, implementation and maintenance of such models within the bank's IT systems and ongoing monitoring / testing, documentation and communication with regulators in relation to such models and provision of related policies / processes pertinent to this.
The Credit Analytics team has an opportunity for an experienced quantitative analyst to join the Trade analysis team.
The department values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global cultural values.
Your skills and experience
To excel in this role, you should possess:
- You hold a Bachelors' or Master's degree in quantitative or relevant field preferred
- We are seeking a quantitative analyst with excellent technical skills and some prior experience of quantitative credit risk and derivatives products.
- You must have 2+years of proven experience (in a quantitative role)
- You possess outstanding technical skills, detailed knowledge of credit risk and derivative products with relevant banking/financial products experience
- Good Database skills i.e. good knowledge of SQL/Sybase
- Knowledge of database and mainstream programs (Access/Excel) and some programming skills (VBA, C++,C#, Python etc.)
- Ability to work well under stress and tight timelines with a minimum amount of supervision
- You possess the ability to express complex financial instruments in simple terms
- You are ambitious, hardworking who can work on own initiative whilst also working collaboratively and deliver on time with a high level of integrity, sense of urgency, attention to detail and quality standards
- Understands the value of diversity in the workplace and is dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work
Your field of responsibility The Trade analysis team looks into performing pre-trade exposure calculations for live trades. This includes portfolio impacts (PE & EPE), haircut/initial margin recommendations, and in-depth analysis of structured dea
Experience: 2.00-5.00 Years