Credit Suisse - AVP - Risk Modeler - Structured Products Methodology Team

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

Qualifications - 

- 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.