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We Offer The Models and Methodology team is part of the Market and Liquidity Risk Management department. The market risk models are utilized for both internal risk management and calculating regulatory capital. The models are used globally across all legal entities and regulators. The role is for a model developer in the Securitized Products methodology team, and the principle responsibilities include:
You will develop models to quantify market risk to meet regulatory capital requirements
You will work with cluster risk managers and FO to ensure best-in-class model development
You will liaise with IT to get the models implemented and document the models and analysis
You will evaluate the impact of new models and capital rules and establish policies and processes covering market risk
Develop and analyze new quantitative risk models for products traded by the business, and ensure there's correct implementation
Review existing models to ensure they remain fit for purpose and make improvements where necessary
Ensure all models align to SR11-7 standards for internal and external (e.g. regulatory) purposes
Understand the products traded and trading strategies used, and be able to explain to various partners
Collaborate closely with the market risk managers to ensure that their concerns are addressed in the models
Work closely with the model validation team to understand validation results and remediate concerns where necessary
Collaborate with the data, IT, and change management teams to ensure methodology changes are project-managed for implementation
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook.
You Offer You have an advanced degree in financial mathematics or a technical subject such as mathematics, theoretical physics, econometrics, statistics or engineering. You should also have 3+ years of experience working with mortgage backed securities (MBS) and credit products (loans, asset-backed securities, CDS etc). The role would suit someone with exposure to quantitative risk measurement within an investment bank or, more broadly, with experience in a quantitative role within finance. It is important that you have very deep understanding of structured products and the risks they generate.
A strong quantitative background is imperative. A background in statistics, time series analysis and probability theory would be of particular interest. In addition, you show good programming skills - experience in C#, R or Python are desirable. Strong communication skills are also essential. You have the ability to explain complicated concepts clearly to our partners and present their proposals in a clear and precise manner to senior management and regulatory bodies.