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Credit Suisse is a leading global wealth manager with strong investment banking capabilities. Headquartered in Zurich, Switzerland, we have a global reach with operations in about 50 countries and employ more than 45,000 people from over 150 different nations. Embodying entrepreneurial spirit, Credit Suisse delivers holistic financial solutions to our clients, including innovative products and specially tailored advice. Striving for quality and excellence in our work, we recognize and reward extraordinary performance among our employees, provide wide-ranging training and development opportunities, and benefit from a diverse range of perspectives to create value for our clients, shareholders and communities. We are Credit Suisse.
We Offer The Trading Model Validation team within MRM is responsible for validation and approval of Pricing models, Counterparty Credit Exposure capital models and Market risk capital models. The vacancy is for an experienced model validation quant focusing on validation of the Counterparty Credit Exposure capital models and CVA pricing models. The relevant tasks include:
Reviewing and testing of Counterparty Credit Exposure models and CVA pricing models.
Clear documentation of all testing, with follow ups for identified modelling issues.
Engagement on modelling issues with model owners, credit risk managers and model governance.
Interaction with internal and external audit and regulators.
We are 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 cultural values. Open to discussing flexible/agile working.
High level of technical quantitative skills.
Empirical and critical mind-set, and an ability to look at problems in an original way.
Relevant knowledge of the Monte Carlo modelling techniques and some experience in the area of Counterparty Credit Exposure models and CVA pricing models.
Evidence of the above through higher academic degree, preferably PhD, in maths/physics/engineering/quantitative finance or equivalent work experience.
Results-oriented individual with outstanding written and verbal communication skills.
Some programming experience will be valuable.
Understand the value of diversity in the workplace and are 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.
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.
Credit Suisse is committed to providing equal 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. Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success