• Quantitative Developer Jobs in Poland

  • Credit Suisse Securities (India) Pvt Ltd
  • Poland
  • Save Job
  • 3 - 6 Years
  • Posted : above 1 month

Job Description:

Quantitative Developer # 089071

Poland-Warsaw-Warsaw |

Full-time | Corporate Functions | Job ID 089071 Credit Analysis English

Credit Suisse is a leading global wealth manager with strong investment banking capabilities Headquartered in Zurich, Switzerland, we have a global reach with operations in about 50 countries and employ more than 45,000 people from over 150 different nations Embodying entrepreneurial spirit, Credit Suisse delivers holistic financial solutions to our clients, including innovative products and specially tailored advice Striving for quality and excellence in our work, we recognize and reward extraordinary performance among our employees, provide wide-ranging training and development opportunities, and benefit from a diverse range of perspectives to create value for our clients, shareholders and communities We are Credit Suisse

We Offer

The Risk division is a highly visible, dynamic area of the firm where you can be an integral part of decisions making that supports the banks business Our responsibilities range from enterprise risk management to risk and finance reporting and regional risk teams covering the risk management for our entities The Risk divisions long-term success depends on our ability to achieve our vision and fulfill our mandate Ultimately, this depends on the skills, experience and engagement of our employees We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and encourages leadership at all levels

The main responsibility of this role would be the development and specification of market risk methodology and time series across multiple asset classes for regulatory purposes You will become a lead SME on market Data Modellability for FRTB

We are looking for an individual who will be able to work independently and report directly to a manager and team located in London

More specifically, the responsibilities include

Understand the products traded and trading strategies used

Identify all sources of market data

Develop and specify processes around the internal market risk models and their associated time series

Understand risk models (ES/VaR & RNIV) currently in use and proposed regulatory changes

Develop risk methodologies to be used for market risk measurement

Implement prototype solutions in C# (or some other relevant programming language) for methodology changes and enhancements

Evaluate the impact of the new models and capital rules

Collaborate closely with the Model Validation group to ensure that the risk sensitivities used for risk calculations are appropriate

Closely collaborate with the data team and make sure that the historical data used in all calculations are correct

Closely work together with the change teams, to guarantee that any changes to methodology are appropriately project-managed for implementation

Ensure that all risk models are adequately documented for both internal and external (eg regulatory) purposes

Open to discussing flexible/agile working

You Offer

You hold a first degree and MSc in mathematics, theoretical physics, econometrics, statistics or engineering, preferably followed by a PhD in one of those areas or in finance

You have deep understanding of financial mathematics, and in particular an understanding of a wide range of derivative instruments and the risks they generate

You have the ability to understand the effects, and relative importance, of underlying risk factors upon the value of the instruments

You possess minimum 3 years experience in software development

You have some programming experience in C# and Python is required

You have advanced Excel knowledge and familiarity with Microsoft Office products

You possess good verbal and written communication skills in English

You have analytical skills, as well as computational and communication skills - required

You are able to work in autonomy and in an active manner in order to progress any initiatives independently

You have background in time series analysis, statistics and probability theory would be of particular interest

Youre able to explain complicated concepts clearly to all members of staff, and present their proposals in a clear and precise manner to senior management and regulatory bodies

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 zoo (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 [DzU] 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 zoo Registered office - Rondo ONZ street, 00-124 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 - Kchlerstrae 1, 61231 Bad Nauheim

Profile Summary:

Employment Type : Full Time
Eligibility : Any Graduate
Industry : Financial Services/Stockbroking, Banking
Functional Area : Banks/Insurance/Financial Services
Role : Risk/Credit/Economic Analyst
Salary : 300000-600000 P/A
Deadline : 29th Oct 2019

Key Skills:

Company Profile:

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