Sourcer at Credit Suisse
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Credit Suisse - Model Validator (1-3 yrs)
Your field of responsibility :
- As part of the Trading Book Validation team, you will focus on the mathematical models used to price financial products (e.g. swaps, exotic derivatives etc) or to calculate the risk of the portfolio (e.g. VaR models). The team is aligned per asset classes (e.g. Rates, FX, Commodities, Securitised Products etc).
- As a junior model validator, you will work together with senior team members to perform the following tasks:
- Review the mathematical foundation of the model, assessing the correctness of the model equations and theory
- Assess if the model is implemented correctly, via independent re-implementation of the model in spreadsheets or coding language (Python, C#, F#, C++.).
- Test the sensitivity of the model to changes of inputs
- Test the stability of Monte Carlo and PDE models by reviewing the numerical settings
- Backtest the model against the market to assess the model performance (VaR exception counts, hedging simulations etc)
Compare the model to alternative benchmarks either available in the Firm or independently implemented by Model Val (e.g. local volatility vs stochastic volatility for path-dependent products, alternative interpolation schemes, time series backfilling with Brownian Bridge or other techniques etc)
Your future colleagues:
Our team is dedicated, hardworking and used to work independently as well as collaboratively. We work with a high level of integrity, attention to detail and look for a colleague who shares our passion and high standards. We are a department which values Diversity and Inclusion (D&I) and is commit-ted to realizing the firm's D&I ambition which is an integral part of our global cultural values.
Your skills and experience:
The role requires quantitative background and experience and allows to strengthen quantitative and analytical skills.
- You hold a Masters or PhD in a quantitative discipline, e.g. Mathematics, Physics, Engineering, Quantitative Finance.
- Previous experience (1-3 years) in a quantitative role in financial services is a plus.
- You are able to demonstrate sound understanding of at least one of the following topics: Statistics, Stochastic Calculus, Numerical Analysis, and/or Derivative Pricing.
- Highly motivated and partnering mind-sets, a practical approach to problem solving, ability to explain complex topics to a diverse range of audiences
- 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
Shah Pallavi would be delighted to receive your application.
Please apply via our career portal.
Your new employer:
Find a new home for your skills, ideas, and ambitions. Credit Suisse offers you the ideal environment to progress your career, attractive benefits and excellent training.
We are a leading wealth manager with strong global investment banking capabilities founded in 1856. Headquartered in Zurich, Switzerland, and with more than 45,000 employees from over 150 nations, we are always looking for motivated individuals to help us shape the future for our clients.
Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive ad-vantage in the global marketplace and drives our success. Our bank provides reasonable accommo-dations to qualified individuals with disabilities, as well as those with other needs or beliefs as may be protected under applicable local law. If you require assistance during the recruitment process, please let your recruiter know.