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This position is within the Asset Management division for a seasoned quantitatively modeler. Some of the responsibilities include
Building PPNR models for CCAR to cover various AM businesses (e.g. credit hedge funds, CLOs, Commodities, etc.)
Building stress-testing models for our global businesses subjected to Swiss stress-tests
Capital planning models for CFO of AM
Working with interesting data-sets that cover exotic businesses in many different asset classes (e.g. Credit, ABS, Commodities, Equities, Fixed Income, Levered Loans, etc.)
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook.
We expect candidates with a Master's or PhD in a quantitative field, preferably in Economics, Finance, Statistics or Engineering/Physical Sciences. The candidate should have (not necessarily satisfy all of the criteria)
3-5 years of experience in building quantitative models in an investment bank in risk, stress-testing (CCAR/DFAST), or front office roles
Solid understanding of time-series regressions (VAR, ARMA, Cointegration, etc.)
1-5 years of programming experience in R, Matlab, or Python
Intuitive understanding of macroeconomic drivers of returns and asset-flows of asset management businesses
Knowledge of InTex for creating CLO waterfalls is preferable, but not required
Be able to multi-task, work in a diverse team of people, be able to communicate technical concepts in simple language