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We Offer A department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards. The Model Validation team reports to the Chief Risk Officer and the main responsibilities of this role will focus on risk methodology projects. Specifically, the responsibilities will include:
Validate and backtest equities VaR models to ensure they remain fit for purpose and make improvements where necessary
Collaborate closely with the Risk Methodologies team and Market Risk on the validation of VaR methodology projects to ensure issues are appropriately addressed and raised;
Assess the appropriateness of historical data used in calculations
Ensure that all risk models and validation are adequately documented for both internal and external (e.g. regulatory) purposes
Evaluate the impact of new models and capital rules
The VaR models are used for both internal risk management and calculating regulatory capital for market risk. They are used globally across all legal entities and regulators.
You should have a first degree in engineering, mathematics, physics, econometrics or statistics, and further studies (PhD/MSc) or equivalent experience
You possess a strong mathematical background in statistics, time series analysis and probability theory
You require experience in quantitative risk management within an investment bank validating or developing VaR models
You have a deep understanding of products traded and risks generated by trading strategies
The role requires you to have good programming and analytical skills
You are able to present results clearly and precisely to senior management
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 an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.
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
Internal Number: 6388778
About Credit Suisse
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