Securitised Products Trading Model Validation
Credit Suisse
Warsaw, Warsaw, Polonia
5 d. temu

We Offer

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
  • 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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