Quantitative Analyst – Model Risk Management #162883
Credit Suisse
Wroclaw, Wroclaw, Poland
5 d. temu

We Offer

A department which values Diversity and Inclusion (D&I) and iscommitted to realizing the firm’s D&I ambition which is an integral part ofour global Conduct and Ethics Standards.

Part of Enterprise Risk Management (ERM) at Credit Suisse, the ModelRisk Management (MRM) team has a mandate to validate the Bank'sbusiness-impactful models firm-wide and more generally to identify, measure andmanage 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 themathematical models used to price financial products (e.

g. swaps, exotic derivativesetc) or to calculate the risk of the portfolio (e.g. VaR models). The team isaligned per asset classes (e.

g. Rates, FX, Commodities, Securitised Productsetc).

Flexible / agile workingoptions are possible.

As a junior model validator, you will work together with senior teammembers to perform the following tasks :

  • Review the mathematical foundation of the model. Assessing the correctness of equations and theory
  • Assess if the model is implemented correctly, via independent re-implementation in spreadsheets or coding language (Python, C#, F#, C++)
  • Test the sensitivity of the model to changes of inputs
  • Test the stability of Monte Carlo and PDE models by reviewing the numerical settings
  • Backtest the model against the market to assess the model performance (VaR exception counts, hedging simulations etc.)
  • Compare the model to alternative benchmarks either available in the Firm or independently implemented by Model Val (e.
  • g. local volatility vs stochastic volatility for path-dependent products, alternative interpolation schemes

    You Offer

  • Masters or PhD in a quantitative field, e.g. Mathematics, Physics, Engineering, Finance, Economics
  • Demonstrate understanding of at least one of the following topics : Statistics, Stochastic Calculus, Numerical Analysis, and / or Derivative Pricing
  • Good programming experience (such as R, Python, C++, C#) is a plus
  • Practical approach to problem solving. Ability to explain complex topics to a diverse partners
  • Highly motivated individual with a partnering mind-set
  • Understands the value of diversity in the workplace and is dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work.
  • 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.

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