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We Offer Part of Enterprise Risk Management (ERM) at Credit Suisse, the Model Risk Management (MRM) team has a mandate to validate the Bank's business-impactful models firm-wide and more generally to identify, measure and manage model risk across Credit Suisse. The team is established in London, Zurich, Mumbai, Singapore, Warsaw, Hong Kong and New York.
Being part of the MRM team in London, you will get exposure to modelling in a wide variety of models in areas such as risk models (VaR/RNIV, EPE) and other business-impactful models used throughout the bank etc. The team's broader model risk scope also guarantees a significant level of interest and visibility to the business and senior management. Opportunities to present results to business partners as well as peers are numerous, allowing you to widen and develop their network and reputation.
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.
Perform the full validation of risk models (VaR and RNIV) supported by in-depth reviews based on statistical analysis of time series and risk methodologies. Meeting business needs and regulatory expectations with responsibility for investigating key aspects of each model under review: choice of modelling approach, the modelling assumptions and limitations, model performance and usage.
Liaising with regulators and preparing meeting materials for interactions with the PRA, Finma and the Fed. Manage partner interaction and relations in governance forums.
Investigate the bank's risk methodologies and quantify the impact of assumptions and limitations given the regulatory requirements from the PRA, Finma and the FED. Prepare the analysis to address and closure of audit points related to IMA (internal models approach) models, in particular, VaR and RNIV.
Hold a PhD (or Masters paired with relevant experience) in a quantitative discipline, e.g. Mathematics, Physics, Engineering with experience in financial modelling and/or model validation.
Experience in financial modelling for Equity Derivatives products with a focus on Market Risk models (VaR, RNiV and FRTB).
Hands-on experience in risk and capital modelling, stochastic calculus and should be able to demonstrate an understanding of capital modelling, financial mathematics and derivative products.
Experience handling at least one direct report delivering high quality results within strict deadlines.
Good programming experience is a plus (such as C#, F#, Python or R).
Outstanding written and verbal communication and interpersonal skills.
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.
Closing date: 25th March 2020 Competitive salary offered