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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 Quantitative Analysis and Technology (QAT) team. The QAT team reports to the Chief Risk officer. Market risk modelers within the Quantitative Strategies Group are responsible for:
Developing models to quantify market risk to meet regulatory capital requirements, including but not limited to VaR models
Working with cluster risk managers and trading to ensure efficient model development
Working with IT to get the models implemented
Documenting models and analysis
Establishing policies and processes covering market risk
The market risk models developed by the team are utilized for both internal risk management and calculating regulatory capital for market risk. The models are used globally across all legal entities and regulators.
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 role is for a junior market risk modeler in the Securitized Products VaR methodology team, and the principle responsibilities include:
Build and analyze new quantitative risk models for products traded by the Securitized Products business, and ensure their accurate implementation
Review existing models to ensure they remain fit for purpose and make improvements where necessary
Ensure all models are adequately documented (to SR11-7 standards) for both internal and external (e.g. regulatory) purposes
Understand the products traded and trading strategies used, and be able to explain to various partners
Evaluate the impact of new models and capital rules
Collaborate closely with the market risk managers to ensure that their concerns are appropriately reflected in the models
Support the model validation team to understand validation results and remediate concerns where necessary
Collaborate with the data, IT, and change management teams to ensure that methodology changes are appropriately project-managed for implementation
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.
2+ years of experience working with Fixed Income Products. Experience in Securitized Products, including MBS, ABS, and CLO, is preferred.
Experience with quantitative pricing or market risk models.
Working knowledge of structured products and the risks they generate.
Advanced degree in financial mathematics or a technical subject (mathematics, theoretical physics, econometrics, statistics, engineering, etc)
Strong quantitative and statistical modeling skills. A background in statistics, time series analysis and probability theory would be of particular interest.
Proficient programming skills - experience in C#, R or Python is a plus!
Strong written and verbal communication skills are essential. You must have the ability to explain complicated concepts clearly to our partners and present models and proposals in a clear and detailed manner.