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We Offer Credit Risk Management is a unit within the CRO Division. We are responsible for developing and documenting the methodologies used to measure credit risk as well as for reporting on those risks Credit Suisse is exposed to. These activities involve frequent interaction with a number of significant partners such as front office, risk analysis and reporting, financial accounting as well as auditors and regulators. Given improved regulatory scrutiny of large banks, our area has seen a significant increase in the number of regularly required reports as well as the number of ad-hoc requests especially from regulators. We are therefore looking to expand our Group to cope with the additional workload and at the same time remain dedicated in further developing the methods we apply in measuring and handling our risks. Counterparty Credit Risk (CCR) Methodology team in Mumbai is an integral part of the global CRM Credit Analytics team. The Team is responsible for the development of methodologies/Credit Risk models for the measurement of Counterparty Credit Risk. These models calculate the Risk Capital of the bank and have important partners. The team is also responsible for actively engaging with counterparts in Zurich and London to upgrade, develop, Monitor and calibrate risk models.
All responsibilities in the Counterparty Credit Risk - Methodology team directly affect the bank's Risk Capital. As the team fully is responsible for the models and methodologies the stakes are very high and a low margin for error. As regulatory demands change, team members are expected to build new models or improve upon existing ones to align with existing standards.
Members regularly need to engage in discussions of a very theoretical nature with the teams in Zurich and London in order to device tactical and strategic solutions to modelling issues or cater to regulatory requests.
The role requires development and improvement of CCR Methodology models for exposure computation, collateral treatment, wrong way risk and concentration risks in the bank's portfolio
Review, improvement and maintenance of CCR Methodology Models, Exposure Computation Models, Wrong Way Risk Models and other models
Provide pre-deal assessment of wrong way risk, collateral haircuts to business
Programming of prototypes /production code (within an established C++/R/Python library) and using them for exposure comparison
Interaction with various internal partners such as Credit Officers, Trade Analysis, Model Validation etc.
Empirical analysis of financial data
Members often find themselves collaborating with IT to deliver strategic implementations of complex risk and simulation systems.
Members cater to other bespoke requests regarding exposure analysis for several audit or regulatory reports.
You are highly detail oriented and undertake hands-on tasks
You should have an advanced degrees in finance, mathematics, econometrics, engineering or other quantitative subjects and should have a strong foundation in Probability and Statistics.
You should have experience in at least one of the following topics: Numerical simulations, Monte Carlo, derivative pricing /modelling, Computation of risk metrics (e.g. VaR, EPE, PFE, Greeks)
You have deep knowledge of one of the programming languages like R, MATLAB, Python, C++ is strongly preferred and will have to deal in VBA code, SQL queries
You should be able to communicate logically and precisely, including writing extended documentation