Model Risk Management - Validation
Credit Suisse
Warsaw, Warsaw, Polonia
6 d. temu

We Offer

The Risk division is unusual, highly visible and dynamic area of the firm where you can be an integral part of decisions making that supports Credit Suisse.

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 division's long-term success depends on is being passionate and have ability to achieve our vision and fulfil our mandate.

We offer a collaborative and highly motivated environment that offers direct contact with senior management and encourages leadership at all levels.

The Model Risk Management (MRM) team has strong sense of ownership to validate the business-impactful models firm-wide and more generally to identify, measure and take care of model risk across Credit Suisse.

As a member of the MRM team, you get exposure to modelling in credit risk, market risk, operational risk etc.

Key Responsibilities :

  • You participate in independent model validation reviews across a wide range of core Risk Capital or other business-impactful models used throughout the bank, meeting business needs and regulatory expectations, with responsibility for investigating key aspects of each model under review : choice of modelling approach, the underlying assumptions and associated limitations, performance and optimal use of the model, etc.
  • You will review, verify and validate pricing and risk models for theoretical soundness and identification of model weaknesses, ensuring ongoing monitoring, as well as contribute in the firm-
  • wide model risk and control assessment.

  • You demonstrate independence in planning and engage with partners for testing design and execution, results interpretation and presentation, production of documentation strong enough to evidence a sound challenge to both internal and external parties
  • You gain training and exposure to collaborate in areas such as risk models, equity derivatives and equity-hybrids (EQ-
  • FX, EQ-IR). Opportunities to present results to stakeholders as well as peers are numerous, allowing the candidate to widen and develop their network and reputation.

    Open to discussing flexible / agile working.

    Essential :

  • You hold a first degree in a quantitative discipline and Masters in Mathematics, Physics or Engineering. Preferably a PhD in similar field.
  • You have deep understanding of financial mathematics, investment banking products, financial derivatives or risk management obtained during work experience or academic research.
  • You are committed to communicate effectively and closely partnering with client group including explaining complex topics to a diverse range of audiences.
  • You are highly motivated self-starter that focus on tasks and have the ability to present your analysis in a structured format with attention to detail and complying with deadlines.
  • Desirable :

  • You are experienced in pricing models for derivatives and implementation of numerical methods. Additionally, experience of statistical models and broader financial modeling in econometrics will be expected.
  • You are knowledgeable of one programming language such as Python, C#, F# or R.
  • Our benefit

  • Private medical care
  • Charity days
  • Training and development
  • Internal Mobility
  • Other optional

  • Language training course
  • Mentoring
  • Family nursery and kindergarten funding, gift vouchers for Christmas
  • Parking allowance
  • Health promotion : Multisport card, sporting events and groups within Credit Suisse (skiing trips, football team, running team, tennis training course etc.)
  • Employee discounts on various products and services (event tickets, consumer products, etc.)
  • Relocation package
  • Employee Referral Program
  • Flexible work schedule and working from home (home office)
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