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Capital Stress Testing (CCAR) Market Risk Modeler - VP #104543
Credit Suisse -
February 3, 2018
New York, New York
We Offer The Quantitative Strategies Group at Credit Suisse is a modeling, analytics and trading risk group, whose mandate is to work as an integrated part of the trading team to develop and deliver: pricing models; risk analytics; trader tools for risk management, hedging, and relative value; management tools and techniques to optimize trading decisions across Global Markets' portfolio risks and capital. The group is organized along business lines and sits with the trading groups.
The Quantitative Strategies Modeler will work within the Securitized Products (SP) team. The role will focus on model development and quantitative support for the Securitized Products business, with a focus on pricing and risk management of mortgage and other asset-backed securities and derivatives.
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook.
You have at least 7 years of experience in prepayment modeling and analysis
You are familiar with agency RMBS valuation and risk
You have a strong quantitative and statistical modeling skills
You have proven ability to work with the trading desk
You have solid exposure to and knowledge of financial markets
You are adept at working both independently and as part of a team
You have excellent written and verbal communication and presentation skills
You have strong C/C++ programming skills
You have an advanced technical degree (Mathematics, Physics, Engineering, Computing etc.)