The Risk division is a highly visible, dynamic area of the firm where you can be an integral part of decisions making that supports the bank’s business.
Our responsibilities range from enterprise risk management to risk and finance reporting and regional risk teams covering the risk management for our entities.
The Risk division's long-term success depends on our ability to achieve our vision and fulfill our mandate. Ultimately, this depends on the skills, experience and engagement of our employees.
We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and supports leadership at all levels.
The main responsibility of this role would be the development and specification of market risk methodology and time series across multiple asset classes for regulatory purposes.
You will become a lead SME on market Data Modellability for FRTB.
We are looking for an individual who will be able to work independently and report directly to a manager and team located in London.
More specifically, the responsibilities include :
Understand the products traded and trading strategies used.
Identify all sources of market data.
Develop and specify processes around the internal market risk models and their associated time series.
Understand risk models (ES / VaR & RNIV) currently in use and proposed regulatory changes.
Develop risk methodologies to be used for market risk measurement.
Implement prototype solutions in C# (or some other relevant programming language) for methodology changes and enhancements.
Evaluate the impact of the new models and capital rules.
Collaborate closely with the Model Validation group to ensure that the risk sensitivities used for risk calculations are appropriate.
Closely collaborate with the data team and make sure that the historical data used in all calculations are correct.
Closely work together with the change teams, to guarantee that any changes to methodology are appropriately project-managed for implementation.
Ensure that all risk models are adequately documented for both internal and external (e.g. regulatory) purposes.
Open to discussing flexible / agile working.
You hold a first degree and MSc. in mathematics, theoretical physics, econometrics, statistics or engineering, preferably followed by a Ph.
D. in one of those areas or in finance.
You have deep understanding of financial mathematics, and in particular an understanding of a wide range of derivative instruments and the risks they generate.
You have the ability to understand the effects, and relative importance, of underlying risk factors upon the value of the instruments.
You possess 3 years experience or less in quantitative risk within an investment bank or in a quantitative role within finance would be preferred.
You have programming experience in C# and Python.
You have advanced Excel knowledge and familiarity with Microsoft Office products.
You possess good verbal and written communication skills in English.
You have analytical skills, as well as computational and communication skills - required.
You are able to work in autonomy and in an active manner in order to progress any initiatives independently.
You have background in time series analysis, statistics and probability theory would be of particular interest.
You're able to explain complicated concepts clearly to all members of staff, and present their proposals in a clear and precise manner to senior management and regulatory bodies.
Private medical care
Training and development
Language training course
Family nursery and kindergarten funding, gift vouchers for Christmas
Health promotion : Multisport card, sporting events and groups within Credit Suisse (skiing trips, football team, running team, tennis training course etc.)
Employee discounts on various products and services (event tickets, consumer products, etc.)
Employee Referral Program
Flexible work schedule and working from home (home office)
If you apply for this role this means you agree with the following statement :
Through my application for a role with Credit Suisse (Poland) sp. z.o.o. (the Company) I hereby authorize the Company to process my personal data for the purposes of job recruitment.
Furthermore I declare that I am aware of the voluntary submission of data and I am informed about the right to access the data and the right to correct it, pursuant to the Personal Data Protection Act of 29 August 1997 (Journal of Laws Dz.
U No. 133, item 883) . I authorize Company to process my personal data for future recruitment processes.
Furthermore, I authorize Credit Suisse Group AG and its’ affiliates, Taleo (UK) Limited, cut-e AG Kleiner Burstah 12 and milch & zucker The Marketing & Software Company AG to process my personal data.
Credit Suisse and affiliates registration details.-
Credit Suisse (Poland) sp. z.o.o Registered office - 1 Icchoka Lejba Pereca street, 00 - 849 Warsaw
Credit Suisse Group AG Registered office - Paradeplatz 8, 8001 Zurich, Switzerland and its’ affiliates
Taleo (UK) Limited Registered office - 78-586 Chiswick High Road, London W4 5RP, United Kingdom,
Cut-e AG Kleiner Burstah 12 Registered office - 20457 Hamburg, Germany and
Milch & Zucker The Marketing & Software Company AG Registered office - Küchlerstraße 1, 61231 Bad Nauheim