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 Conduct and Ethics Standards.
Part of Enterprise Risk Management (ERM) at Credit Suisse, the Model Risk Management (MRM) team has a mandate to validate the Bank's business-impactful models firm-wide and more generally to identify, measure and manage model risk across Credit Suisse.
The team is established in London, Zurich, Mumbai, Singapore, Warsaw, Hong Kong and New York.
As a member of the MRM team in Warsaw, the role will focus on the mathematical models used to price financial products (e.
g. swaps, exotic derivatives etc) or to calculate the risk of the portfolio (e.g. VaR models). The team is aligned per asset classes (e.
g. Rates, FX, Commodities, Securitised Products etc).
Flexible / agile working options are possible.
As a junior model validator, you will work together with senior team members to perform the following tasks :
g. local volatility vs stochastic volatility for path-dependent products, alternative interpolation schemes
This should be further elaborated on in your application.
Credit Suisse is committed to providing equal employment opportunities, regardless of ethnicity, nationality, gender, sexual orientation, gender identity, religion, age, civil partnership, marital or family status, pregnancy, disability or any other status that is protected as a matter of local law.
Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.