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Credit Quantitative Analyst Incremental Risk Charge Methodology


Source:
TIMESJOBS.COM
Location:
Mumbai, MH
Date:
07-11-2016
Job Code:
58223128
Categories:
  • Banking & Finance
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Job Details

Opportunity to work in the Incremental Risk Charge (IRC) Methodology team in the Credit Analytics area of Credit Suisse s Chief Risk Officer division. This team is responsible for the banks IRC methodology and FRTB internal model methodology for Default risk charge (DRC). This challenging role includesFurther develop the internal model methodology including both risk modeling aspects and business liaison aspects.Research, development and implementation of the FRTB internal model for DRC calculation and reporting approaches in a continuous improvement cycle that the team undertakes, contribute to the Bank s reporting and methodology deliveries.Develop analytics, monitoring, and day-to-day processes to ensure accuracy of model output.Regular interaction and visibility with a wide range of stakeholders across the Bank, particularly from Market Risk Management, Front Office, Reporting, IT and Regulatory Coordination.You OfferPhD or Master s degree in a quantitative subject, ideally with a strong curriculum in statistics/econometrics, quantitative finance or similar.Solid understanding of risk modelling in credit risk and/or financial markets in general.Proven experience in the financial services industry is essential, including successful application of quantitative methods in bank risk managementWork experience in credit risk modelling, ideally in FRTB DRC, IRC, credit portfolio methodology or credit regulatory capital is an asset.Understanding of the Basel II framework and the background to the IRC requirements.Ability to communicate logically and in a precise way, including writing rigorous and clear model documentation.
Degree: MBA/ PGDM | Ph.D. (Doctorate)

Additional Degree: BA (Arts) | B.Com. (Commerce) | B.Pharm. (Pharmacy) | B.Plan. (Planning) | B.Sc. (Science) | BBA/ BBM/ BBS | BCA (Computer Application) | Diploma-Other Diploma | B.Ed. (Education) | BHM (Hotel Management)

Experience: 3-7

Requirements

Claims/Collection Mgmt | Risk/Credit/Economic Analyst
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