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We Offer The Risk Division is a highly visible, dynamic area of the firm where you can be an integral part of the decision-making that supports the bank's business. Our responsibilities range from Enterprise Risk management to risk and finance reporting, and regional risk teams covering the risk management for our entities. The Risk division's long-term success depends on our ability to achieve our vision and fulfil our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and encourages leadership at all levels.
This is a senior methodologist role responsible for managing the team that creates and maintains Interest Rates, FX and Commodities market-risk models. End-to-end responsibilities for Value-at-Risk (VaR) models and their anticipated successor models under the Basel Fundamental Review of the Trading Book (FRTB). The role also includes providing advisory services on stress testing, internal capital models and other modeling practices.
This role will be responsible for a team of approximately seven employees in London and Mumbai. The manager will report directly to Global Head of Market Risk Models and Methodology (MD, based in New York).
Important current initiatives are (1) to consolidate and leverage the recent rebuilding of all core components of the Interest Rate VaR model (curve risk and volatility risk) and (2) to manage the transition of VaR models to the new regulatory requirements under the Fundamental Review of the Trading Book. This position has the responsibility for relationship management with Front Office Managers functions and market risk managers covering the Macro Trading business. The role must also coordinate across business partners in multiple businesses globally given that almost all products are exposed to interest rate risk. Functionally, the team's responsibilities include research and development, implementation in bank systems, on-going performance monitoring and continuous model enhancements.
Open to discussing flexible/agile working.
She/he will have an advanced degree in Mathematics, Engineering, Quantitative Finance or a Scientific discipline or equivalent work experience. PhD or equivalent is advantageous.
You will have extensive commercial financial sector experience in a front office or risk management quantitative analyst role. Recent experience with Rates pricing models and products including plain vanilla and exotic, multi-curve construction and implied-volatility models.
Familiarity with FX pricing models and products advantageous.
Knowledge of Value-at-Risk, Basel regulatory rules and/or their regional implementations such as CRR or US Market Risk Rule.
Knowledge of Model Risk Management and best practices in validation and model development.
Experience with IT implementation including own coding experience (C#, Python, R among others a plus) as well as coordination with external IT groups for system implementation.
Knowledge of our regulatory models and processes (e.g stress testing) an advantage.
Well-developed written and oral communication skills; able to communicate complex ideas to both quantitative and non-quantitative audiences; able to manage the team to write high-quality methodology documents including concise model descriptions and arguments with evidence in support of modeling choices.
Strong organizational skills; able to manage and develop a team of coder-developers, hold to deadlines and handle matrixed stakeholder management.
Internal Number: 4660521
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