|
 |
|
|
| Quantitative Analyst |
|
 |
 |
|
 |
|
The Risk Methodology group in London wishes to hire a quantitative analyst, specialising in the measurement of market risk. The major responsibilities of this role relate to the development and specification of quantitative methodologies, which are used to measure market risk. Each analyst is aligned with a business cluster (e.g. Equities, Rates etc.), and has the following responsibilities for their cluster:
• Understand the products traded and trading strategies used.
• Identify all sources of market risk.
• Develop and specify the VaR model.
• Understand and monitor the VaR model's performance.
• Ensure that any risk not captured by the VaR model is measured within the Risks-not-in-VaR framework.
• Ensure that any significant tail-risk is highlighted to the Scenarios team.
• Support the development and specification of the Economic Risk Capital (ERC) model.
• Collaborate closely with the Model Validation group to ensure that the risk sensitivities used for risk calculations are appropriate.
• Collaborate closely with the data team to ensure that the historical data used in VaR or ERC calculations are appropriate.
• Collaborate closely with the Strategic Change Management (SCM) team, to ensure 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.
Market Risk Modelling is the quantitative team in the Strategic Risk Management department within the Investment Bank (SRM-IB), and deals with the methodology and quantitative issues relating to market risk. It comprises two groups:
•Risk Methodology, which is responsible for the development and specification of the quantitative methodologies used for measuring market risk, including Value at Risk (VaR).
•Model Validation, which is responsible for independent validation of the pricing models used by the firm, for P&L and risk sensitivity reporting purposes.
The SRM-IB department is organised in a matrix structure, with horizontal reporting lines by group (e.g. Risk Methodology, Model Validation) and with vertical alignments according to business clusters (e.g. Equities, Rates etc.) Each analyst is aligned to a particular business area, and is required to provide quantitative support to those needs identified by the business cluster manager. Each analyst also participates in regular business meetings led by the relevant cluster manager. |
|
  |
|
 |
|
|
|
|
Bachelors (mathematics, theoretical physics, econometrics, statistics or engineering)
Doctorate
|
|
7 years + |
|
|
|
English : Speak / Write Fluently
|
|
|
|
open-ended |
|
|
|
unspecified |
|
|
|
EU National |
|
|
|
London |
|
|
|
 |
|
 |
|
|
The candidate should have a first degree in mathematics, theoretical physics, econometrics, statistics or engineering, followed by a Ph.D / MSc. in one of those areas or in finance. The role would suit a candidate with experience in quantitative risk measurement within an investment bank or, more broadly, with experience in a quantitative role within finance. It is essential that the candidate has a very good understanding of financial mathematics, and in particular an understanding of derivative instruments and the risks they generate. He or she also needs to understand the effects, and relative importance, of underlying risk factors upon the value of the instruments.
A very strong mathematical background is essential. In addition a background in statistics, time series analysis and probability theory would be of particular interest. Problem solving skills, as well as computational and communication skills, are essential. The candidate should be 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. |
|
|
|
Credit Suisse Group is a world-leading financial services company, advising clients in all aspects of finance, around the world, around the clock. |
|
|
|
|
