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Credit Suisse Counterparty Derivatives Exposures Modeler (AVP) #181728 in London, United Kingdom

You will be managing accurate quantitative analysis on new and existing trades, calculating Potential Future Exposure (PFE), Expected Positive Exposure (EPE) and Initial Margin (IM) for derivatives portfolio covering Rates, FX, Equity, Credit, Inflation, and Commodity. Calculating haircuts for Security Financing transactions (Bonds and Equities). Liaise with Front Office (Sales & Trading, Prime Risk, Portfolio and XVA Management) and Credit Officers for structuring new trades, and portfolio risk driver explanations. Identify limitations and discuss proactively with Methodology teams to come up with proven solutions. Your future colleagues Trade Analysis team is an integral part of Counterparty Exposure Modelling function under CRCO division. This role based in London will cover EMEA Investment Banking business, working in close association with global teams based in New York, Zurich, Singapore, and Mumbai. This role will sit alongside Credit Risk Managers in London and will have technical advisory responsibilities for business, risk officers and senior partners across the bank. We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm’s D&I ambition which is an integral part of our global cultural values. We are looking for: * Qualification in a quantitative subject like Mathematics, Engineering, Physics or Computational Finance. * Outstanding derivative product knowledge and counterparty credit risk methodologies. * Good understanding of Monte Carlo exposure models, Credit and Market risk concepts, pricing and risk measures. * Proven experience of working in a Quantitative Risk role preferred, experience in Structuring, Desk Quant or Model Validation will be considered. * Phenomenal interpersonal and communication skills is essential. * Programming knowledge (e.g. Excel VBA/Macros, R, Matlab, C#) preferred. * CFA or other professional qualifications preferred. * Knowledge of Bloomberg and Reuters terminals preferred. * Dedication to fostering an inclusive culture and value diverse perspectives. Job: Quantitative Analysis* *Title: *Counterparty Derivatives Exposures Modeler (AVP) #181728 Location: GBR-London-London Requisition ID: 181728