TheExposure Analytics team is responsible globally for methodology, in-housedevelopment and production implementation of the Monte Carlo exposure modelsused by Credit Suisse to determine capital requirements for CVA and Defaultrisk and to compute internal risk measures of Counterparty Credit Risk onderivatives positions.
Adepartment which values Diversity and Inclusion (D&I) and is committed torealizing the firm’s D&I ambition which is an integral part of our globalConduct and Ethics Standards.
Weoffer a challenging modelling role that includes :
Implementing and optimizing performance of models for derivatives pricing, evolution of stochastic risk factors across asset classes (e.
g. FX, interest rates, equity, credit, commodities) and calibration processes within the C++ / F# Quant Strats library
3rd line support for advanced users
Interaction with internal partners such as Front Office, Credit Officers, Pre-trade Analysis, IT
Addressing requestsfrom model validation, internal / external auditors and various regulators (e.g.in the context of Basel framework)
You should have strong programming experience, particularly in C++. Other programming experience also desirable (e.g. F#, Python)
You have strong experience as a Quantitative Developer
You will have good knowledge of algorithms and data structures
You have experience in developing multithreaded applications.
You will have solid understanding of software lifecycle
You work well within a team and engenders good team ethics.
You have M.Sc. or Ph.D. in Computer Science, Mathematics, Engineering (or similar)
You have excellent problem solving and analytical skills.
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.
This should be further elaborated on in your application
CreditSuisse is committed to providing equal employment opportunities, regardless ofethnicity, nationality, gender, sexual orientation, gender identity, religion,age, civil partnership, marital or family status, pregnancy, disability or anyother status that is protected as a matter of local law