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Model Risk Management Validation # 131355

at Credit Suisse

Posted: 8/20/2019
Job Status: Full Time
Job Reference #: 131355

Job Description

As part of the Trading Book Model Validation team within Model Risk Management the you will gain training and exposure to modelling in areas such as equity derivatives and equity-hybrids (EQ-FX, EQ-Rates). The current heightened regulatory and governance framework guarantees a significant level of responsibility and visibility to the business and senior management. The range of equity derivatives and equity hybrids projects covered offers the chance for team members to gain in-depth knowledge of products as well as models used in pricing, risk management and capital calculations.



Job Description

  • Validate Front-Office pricing models and market risk models for Equity Derivatives and Equity Hybrids.
  • Test model design including model limitations and assumptions, ensuring effective challenge to Front-Office and partner concern of identified issues.
  • Independent model development, building up our modeling framework and Model Validation library.
  • Review of New Products: conducting analysis for Pre-Trade Approvals.
  • Liaising and collaborating with business partners across Front-Office quants and Trading, Market Risk and Product Control.
  • Research alternative benchmark models and methodologies to estimate model risks.


Credit Suisse maintains a Working Flexibility Policy,  subject to the terms as set forth in the Credit Suisse United States Employment Handbook.

 



Qualifications

Profile

  • You have deep knowledge of derivatives pricing models, stochastic calculus, financial modelling, statistics and econometrics.
  • You have bachelors and/or a Masters degree  in a quantitative discipline, e.g. Mathematics, Physics, Engineering, Finance, PhD preferred.
  • Experience with a relevant programming language: Python, C#, F# or R.
  • Ideally with relevant past experience related to Model Validation, Quantitative Analysis or Quantitative Risk Management.
  • You are a great teammate with good interpersonal skills, computational and strong communication skills.