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 :
g. local volatility vs stochastic volatility for path-dependent products, alternative interpolation schemes
This should be further elaborated on in your application.
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Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.