Credit Suisse Credit Risk Modeller - Economic Capital # 109130 in Warsaw, Poland

An exciting role has arisen to work in the Credit Portfolio Methodology team in the area of Credit Analytics in Credit Suisse’s Chief Risk Officer division. You will have a chance to be a part of the strategic initiative that enhances the Group-wide Economic Capital framework. Also you will be a member of the Credit Economic Capital methodology team with the chance to lead and support the further expansion of the team in Warsaw. A challenging role in Credit Portfolio modelling that includes a growing variety of tasks:

  • Identifying and defining product-specific risk characteristics (trading book assets, retail and wholesale loans, OTC derivatives etc.).

  • Mathematical designing, calibrating and prototyping of credit portfolio models.

  • Statistical analysis of internal and external data covering a wide range of credit risk types, including retail and wholesale lending, counterparty and traded credit risk.

  • Regular interaction with business partners across the Bank, particularly from Market, Credit and Enterprise Risk Management, Front Office, Model Risk Management, Reporting, IT and Regulatory Coordination.

  • Model documentation.

Open to discussing flexible/agile working.

  • You hold a PhD or Master’s degree in a quantitative subject (e.g. mathematics, physics or engineering), ideally with a strong curriculum in statistics/econometrics, quantitative finance or similar.

  • You possess an excellent understanding of risk modelling in credit risk, credit business and/or financial markets in general.

  • You have experience in credit risk modelling, ideally in credit portfolio/economic capital modelling or counterparty exposure modelling.

  • You have programming experience, particularly in statistical languages such as R or similar.

  • You possess the ability to write rigorous and clear mathematical model documentation.

  • You are able to communicate logically and precisely.

  • It would be seen as an advantage if you had prior experience in leading a team.

  • You should have a pragmatic and solution-oriented working style and willingness to work hands-on.

  • You are fluent in English.

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 “

Title: Credit Risk Modeller - Economic Capital # 109130

Location: Poland-Warsaw-Warsaw

Requisition ID: 109130