HR at Credit Suisse
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Credit Suisse - AVP - Risk Modeler - Structured Products Methodology Team (4-9 yrs)
Structured Products Methodology - Risk Modeler: AVP # 109344
The role is for a model developer in the Securitized Products methodology team, and the principle responsibilities include:
- Develop and analyse new quantitative market risk models for products traded by the Securitized Products business, and ensure their correct 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 stakeholders
- 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
- Collaborate closely with 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
- The candidate should have an advanced degree in financial mathematics or a technical subject such as mathematics, theoretical physics, econometrics, statistics or engineering.
- The role would suit a candidate with experience in quantitative risk measurement within an investment bank or, more broadly, with experience in a quantitative role within finance.
- It is essential that the candidate have a keen desire to learn the structured products business and the associated market risk modeling.
- A solid quantitative background is essential.
- A background in statistics, time series analysis and probability theory would be of particular interest.
- In addition, the candidate should have good programming skills - experience in C#, R or Python are desirable.
- Strong communication skills are also essential.
- The candidate should be able to explain complicated concepts clearly to our partners and stakeholders, and present their proposals in a clear and precise manner to management and stakeholders.
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