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11/05 Vinita Sharma
HR at Credit Suisse

Views:4306 Applications:136 Rec. Actions:Recruiter Actions:44

Credit Suisse - Model Risk Management Role - Trading Model Validation Team (5-8 yrs)

Mumbai Job Code: 696613

- Credit Suisse is a leading global wealth manager with strong investment banking and asset management capabilities. Founded in 1856, Credit Suisse has expanded to be a global strength employing over 45,000 people in 50 countries. With new leadership, a new strategy and a streamlined global organization, we are set for growth. 

- We partner across businesses, divisions and regions to build creative solutions to meet the needs of our clients- and to help our employees grow. It is a high priority for us to continually invest in our employees by providing ongoing opportunities for training, networking and mobility. Join us and let's shape the future of Credit Suisse together.

- Model validation of Trading Book models for Fixed Income (Interest Rates, Inflation and Emerging Markets). This includes validation of Pricing models, Risk Capital models (e.g. VaR and RNIV), Risk-Based PnL and review of vendor models.

- Perform testing and produce documentation following the model validation guidelines of SR11-7.

- Timely delivery of model reviews with effective challenge to Front-Office and Risk Methodology team and escalation of identified issues.

- Independent model development, building up our modeling framework and Model Validation library.

- Review of New Products: conducting analysis for Pre-Trade Approvals.

- Liaising and collaborating with stakeholders across Front-Office quants and

- Trading, Market Risk and Product Control.

- Conducting research for establishing methodologies that estimate model risks.

We Offer:

- As part of the Trading Model Validation team within Model Risk Management the candidate will gain exposure to both Pricing and Risk Capital modelling.

- The current heightened regulatory and governance framework guarantees a significant level of responsibility and visibility to the business and senior management.

The range of projects covered offers the chance for team members to gain in-depth knowledge of products, models and the risk management for Fixed Income, with focus on Interest Rates, Inflation and Emerging Markets.

You Offer:

- Relevant past experience in Model Validation, Front Office Quantitative

- Analysis or Quantitative Risk Management, ideally with focus on Pricing Models, VaR and RNiV for Rates products.

- Good knowledge of derivatives pricing models, stochastic calculus, numerical algorithms and products.

- Ideally educated to PhD or Master Level in a quantitative topic.

- Experience with a relevant programming language: C++, F#, R or Python.

- Team player with good interpersonal skills, especially in terms of communication, documentation, and stakeholder management.

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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