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We Offer The Trading Model Validation team within MRM is responsible for validation and approval of Pricing models, Market risk capital models and Credit risk capital models. The vacancy is for a senior AVP model validation quant focusing on validation of Market risk capital models, such as VaR and Risk not in VaR (RNIV) for credit products as well as Credit exposure and collateral models. The relevant tasks include:
Reviewing and testing of Market risk VaR and RNIV models for credit products as well as Credit exposure and collateral models,
Clear documentation of all testing, with follow-ups for identified modelling issues,
Contribute on modelling issues with model owners and market and credit risk managers,
Coordinate with internal and external audit and regulators.
High level of technical quantitative skills,
Empirical and critical attitude, and an ability to look at problems in an original way
Meaningful knowledge of credit products and some experience in the area of market risk VaR models as well as credit exposure and collateral models.
Evidence of the above through higher academic degree, preferably PhD, in maths/physics/engineering/finance/economics etc or equivalent work experience.
Accurate and confident written and verbal communication skills
Some programming experience in Python and/or F# would be a plus!
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: 6742328
About Credit Suisse
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