A meaningful role in the Model Performance Monitoring. Being part of the team that is responsible for the model performance monitoring framework for all Advanced Internal Rating-Based (AIRB) credit risk models (Rating, Loss Given Default (LGD) and Credit Conversion Factor (CCF))
Contributing in running and improving the monitoring framework. This includes developing, prototyping, documenting, automating and executing statistical model performance monitoring tests
Opportunity to gain insight into the broad landscape of credit risk models that are applied by Credit Suisse
Responsibility for the generation and presentation of model performance reports for senior management, regulators as well as internal and external audit
Preparing, processing and querying large amount of financial data
Close interaction with various business partners including model owners, validation and credit officers
Responsibility for ad-hoc analyses on credit risk data
Opportunity to work in a dynamic and creative team
You Offer
A Master degree, in quantitative finance, economics, or another quantitative discipline
Preferably work experience in model development, backtesting or model validation in the AIRB area or related fields
Deep understanding of statistical tests
In addition to very good programming skills (e.g. R, SQL), you have excellent MS Office knowhow
Affinity for large databases as well as data sourcing, processing and querying
You speak fluent English, German is a plus
Self-organized personality with attention to details
Flexibility and the ability to work under stress
Excellent analytical skills, especially with regards to financial analysis
You are a great teammate, have a winning personality and stand out with conceptual and interpersonal skills
*LI-CSJOB*Mr. M. Payer would be delighted to receive your application.
