Job Description
Your field of responsibility
At Credit-Suisse (CS), Liquidity Risk Managers use their knowledge in Treasury, Funding and Liquidity to support the identification, measurement, review, and monitoring of liquidity risks arising from CS business activities. The Liquidity Risk Quant Engineer develops and delivers models that embed into CS’ strategic platforms/systems. Together with subject matter experts in the team, you will partner with Risk, businesses, Treasury, and IT to implement models to measure and manage liquidity risk. You will implement and maintain the bank’s liquidity risk models in close coordination with model developers, global and regional Liquidity Risk, Model Validation, IT, Businesses, Treasury and Reporting teams globally. You will be responsible for the successful implementation of new or amended liquidity models, including model performance monitoring. You will cover a wide range of products, businesses, and liquidity metrics /topics on these initiatives for internal liquidity stress testing. You will deliver changes for the overall improvement of the liquidity risk measurement.
Your responsibilities include:
• Design, implementation, testing, maintenance and documentation of the business logic within the Liquidity Risk Model library (written in Python) and ensure code performance to production standards within CS’ strategic systems.
• Reviewing code changes made to the Liquidity Risk Model library by your colleagues and peers, from a business logic perspective
• Working with production support teams, platform team, core developers and users to resolve escalated cases
• Participating in technical design discussions
• Interacting with quantitative analysts, core developers and product owners around the globe (Zurich, London, Mumbai, etc.) to gather user stories and clarify requirements.
Your future colleagues
The role resides within the Liquidity Modelling team, which is part of the Quantitative Analysis and Technology department (QAT) of the firm. The head of QAT reports to the Chief Risk Officer and QAT brings together key quant functions with the objective of unifying and improving quant processes and providing the oversight of Risk modelling. The Liquidity Modelling team serves as a first line of defense for model risk to ensure that the liquidity risk models size the liquidity risk buffer adequately to cover for the Firm’s liquidity risk in amount and quality. The team performs risk assessment and analysis, and is responsible for the development, calibration, prototyping, implementation, maintenance, and documentation of liquidity risk models, including adherence to relevant regulatory requirements. The team works closely with Liquidity Risk, Model Validation, Change and IT teams, Treasury, and key Businesses globally to closely develop state of the art liquidity models.
This position offers remote working opportunities for an agreed number of days per week.
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.
Your skills and experience
This role requires at least 3+ years of experience in liquidity/funding risk, treasury, or asset liability management, preferably from a large global bank. The ideal candidate possesses:
• A university degree in Computer Science, Computer Engineering, Mathematics, Statistics, Physics, Finance or Economics
• Experience in building and/or improving quantitative models
• Programming skills in Python/R/C#/VBA (or similar) and experience with working on databases (SQL)
• Agile software development background, application design and automated software testing experience
At Credit-Suisse (CS), Liquidity Risk Managers use their knowledge in Treasury, Funding and Liquidity to support the identification, measurement, review, and monitoring of liquidity risks arising from CS business activities. The Liquidity Risk Quant Engineer develops and delivers models that embed into CS’ strategic platforms/systems. Together with subject matter experts in the team, you will partner with Risk, businesses, Treasury, and IT to implement models to measure and manage liquidity risk. You will implement and maintain the bank’s liquidity risk models in close coordination with model developers, global and regional Liquidity Risk, Model Validation, IT, Businesses, Treasury and Reporting teams globally. You will be responsible for the successful implementation of new or amended liquidity models, including model performance monitoring. You will cover a wide range of products, businesses, and liquidity metrics /topics on these initiatives for internal liquidity stress testing. You will deliver changes for the overall improvement of the liquidity risk measurement.
Your responsibilities include:
• Design, implementation, testing, maintenance and documentation of the business logic within the Liquidity Risk Model library (written in Python) and ensure code performance to production standards within CS’ strategic systems.
• Reviewing code changes made to the Liquidity Risk Model library by your colleagues and peers, from a business logic perspective
• Working with production support teams, platform team, core developers and users to resolve escalated cases
• Participating in technical design discussions
• Interacting with quantitative analysts, core developers and product owners around the globe (Zurich, London, Mumbai, etc.) to gather user stories and clarify requirements.
Your future colleagues
The role resides within the Liquidity Modelling team, which is part of the Quantitative Analysis and Technology department (QAT) of the firm. The head of QAT reports to the Chief Risk Officer and QAT brings together key quant functions with the objective of unifying and improving quant processes and providing the oversight of Risk modelling. The Liquidity Modelling team serves as a first line of defense for model risk to ensure that the liquidity risk models size the liquidity risk buffer adequately to cover for the Firm’s liquidity risk in amount and quality. The team performs risk assessment and analysis, and is responsible for the development, calibration, prototyping, implementation, maintenance, and documentation of liquidity risk models, including adherence to relevant regulatory requirements. The team works closely with Liquidity Risk, Model Validation, Change and IT teams, Treasury, and key Businesses globally to closely develop state of the art liquidity models.
This position offers remote working opportunities for an agreed number of days per week.
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.
Your skills and experience
This role requires at least 3+ years of experience in liquidity/funding risk, treasury, or asset liability management, preferably from a large global bank. The ideal candidate possesses:
• A university degree in Computer Science, Computer Engineering, Mathematics, Statistics, Physics, Finance or Economics
• Experience in building and/or improving quantitative models
• Programming skills in Python/R/C#/VBA (or similar) and experience with working on databases (SQL)
• Agile software development background, application design and automated software testing experience
💡 Quick Summary
Seeking a career-building opportunity? The Sen| Risk Modeler position is now open for candidates interested in the Bank Jobs sector. This role in Mumbai offers a professional environment and growth potential.
Requirement Snapshot: Candidates should possess basic communication skills, a proactive attitude, and the ability to work in a team. Experience in Bank Jobs is a plus.