The Quantitative Strategies Group at Credit Suisse is a modeling, analytics and trading risk group. Our directive is to work as a coordinated part of the trading teams to develop and deliver: pricing models; risk analytics; trader tools for risk management, hedging, and relative value; electronic market making analytics; management tools and techniques used to optimize trading decisions across the Investment Bank portfolio risks and capital; market risk models used for capital. The group is organized along business lines and sits with the trading desks.
The new hire will join the Quantitative Strategies Projections Modeling team. This team focuses on producing projection methodologies used both for business planning and for stress testing across the globe (CCAR, LPA, and Internal Capital Adequacy Assessment Processes for major legal entities). In addition, Quantitative Strategies Projections Modeling team provides expertise on econometrics, statistics and economic models to other parts of the firm.
This key responsibilities of this role are to:
- Develop, in partnership with subject matter specialists, quantitative scenario expansion models to forecast Macro Economic Factors used for business planning analytics, risk management as well as regulatory reporting
- Maintain clear documentation of methodology, assumptions and data inputs, for reviews with senior management, model validation, businesses, internal & external audit, and regulatory agencies (e.g., Fed, OCC, FINMA, PRA, EBA / ECB)
- Implement scenario expansion models, using R or Python, in an internal Credit Suisse system
- Socialize and review model assumptions and outputs with model owners, model validators and senior management during any review and challenge sessions
- Maintain and enhance an existing quantitative model to project Value-at-Risk for Challenger purpose
Your future colleagues
The applicant will join a team that is renowned for supporting innovation, creativity and results-oriented ideas. We believe that our colleagues are our best asset. We are a department which 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
Equal Opportunity Employer!
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