Is your dream to have equal opportunities? Do you have a real passion for clients? Are you a dedicated team-mate who values integrity highly?
Do you love to improve your analytical skills? You are an empathetic and trustworthy teammate. You will take care or handling client requests.
You welcome diversity and like to work in passionate team this job is for YOU.
Model validation of Trading Book models for Securitised Products (mortgage-backed securities, asset-backed securities, warehouse repos etc.
This includes validation of Pricing models, Risk Capital models (e.g. VaR and RNIV), Risk-Based PnL and review of vendor models
Perform testing and produce documentation following the model validation guidelines of SR11-7
Timely delivery of model reviews with effective challenge to Front-Office and Risk Methodology team and escalation 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 stakeholders across Front-Office quants and Trading, Market Risk and Product Control
Conducting research for establishing methodologies that estimate model risks
Open to discussing flexible / agile working.
As part of the Trading Model Validation team within Model Risk Management the candidate will gain exposure to both Pricing and Risk Capital modelling
The current heightened regulatory and governance framework guarantees a significant level of responsibility and visibility to the business and senior management
The range of projects covered offers the chance for team members to gain in-depth knowledge of products, models and the risk management for Securitised Products
Relevant past experience in model validation, or financial modelling. Focus on Pricing Models, VaR or RNiV for Securitised Products preferred.
Good knowledge of statistics, derivatives pricing and fixed income models
Ideally educated to PhD or Master Level in a quantitative topic
Experience with a relevant programming language : C# / F#, R or Python
Team player with good interpersonal skills, especially in terms of communication, documentation, and stakeholder management
Private medical care
Training and development
Language training course
Family nursery and kindergarten funding, gift vouchers for Christmas
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.)
Employee Referral Program
Flexible work schedule and working from home (home office)