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Employers

Credit Risk Modeller - Economic Capital # 109130, Warsaw

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Client:

Credit Suisse

Location:

Warsaw, Poland 

Job Category:

Other
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EU work permit required:

Yes
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Job Views:

12

Posted:

13.04.2018

Expiry Date:

28.05.2018
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Job Description:

An exciting role has arisen to work in the Credit Portfolio Methodology team in the area of Credit Analytics in Credit Suisse’s Chief Risk Officer division. You will have a chance to be a part of the strategic initiative that enhances the Group-wide Economic Capital framework. Also you will be a member of the Credit Economic Capital methodology team with the chance to lead and support the further expansion of the team in Warsaw. A challenging role in Credit Portfolio modelling that includes a growing variety of tasks: * Identifying and defining product-specific risk characteristics (trading book assets, retail and wholesale loans, OTC derivatives etc.). * Mathematical designing, calibrating and prototyping of credit portfolio models. * Statistical analysis of internal and external data covering a wide range of credit risk types, including retail and wholesale lending, counterparty and traded credit risk. * Regular interaction with business partners across the Bank, particularly from Market, Credit and Enterprise Risk Management, Front Office, Model Risk Management, Reporting, IT and Regulatory Coordination. * Model documentation. Open to discussing flexible/agile working. * You hold a PhD or Master’s degree in a quantitative subject (e.g. mathematics, physics or engineering), ideally with a strong curriculum in statistics/econometrics, quantitative finance or similar. * You possess an excellent understanding of risk modelling in credit risk, credit business and/or financial markets in general. * You have experience in credit risk modelling, ideally in credit portfolio/economic capital modelling or counterparty exposure modelling. * You have programming experience, particularly in statistical languages such as R or similar. * You possess the ability to write rigorous and clear mathematical model documentation. * You are able to communicate logically and precisely. * It would be seen as an advantage if you had prior experience in leading a team. * You should have a pragmatic and solution-oriented working style and willingness to work hands-on. * You are fluent in English. If you apply for this role this means you agree with the following statement: “Through my application for a role with Credit Suisse (Poland) sp. z.o.o. (the Company) I hereby authorize the Company to process my personal data for the purposes of job recruitment. Furthermore I declare that I am aware of the voluntary submission of data and I am informed about the right to access the data and the right to correct it, pursuant to the Personal Data Protection Act of 29 August 1997 (Journal of Laws [Dz.U] No. 133, item 883)”. I authorize Company to process my personal data for future recruitment processes. Furthermore, I authorize Credit Suisse Group AG and its’ affiliates, Taleo (UK) Limited, cut-e AG Kleiner Burstah 12 and milch & zucker The Marketing & Software Company AG to process my personal data. Credit Suisse and affiliates registration details.- Credit Suisse (Poland) sp. z.o.o Registered office - 1 Icchoka Lejba Pereca street, 00 - 849 Warsaw Credit Suisse Group AG Registered office - Paradeplatz 8, 8001 Zurich, Switzerland and its’ affiliates Taleo (UK) Limited Registered office - 78-586 Chiswick High Road, London W4 5RP, United Kingdom, Cut-e AG Kleiner Burstah 12 Registered office - 20457 Hamburg, Germany and Milch & Zucker The Marketing & Software Company AG Registered office - Küchlerstraße 1, 61231 Bad Nauheim “ **Title:** *Credit Risk Modeller - Economic Capital # 109130* **Location:** *Poland-Warsaw-Warsaw* **Requisition ID:** *109130*
Company Info
Thomson Reuters
3 Times Square
New York, United States
Phone:
Web Site: http://thomsonreuters.com/
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