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HR at Credit Suisse
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Credit Suisse - Pricing Model Validation Role (3-8 yrs)
We Offer:
The Pricing Model Validation team within MRM is responsible for handling the risk from the use of Pricing Models in the valuation and hedging of traded derivatives. The vacancy is for a junior model validation quant working on models for credit derivatives and CVA/DVA. The tasks of the team include:
- You will be reviewing and testing of front office pricing models for credit derivatives, CVA/DVA valuations, and other counterparty default related valuations,
- You will clear documentation of all testing, with follow-ups for identified modelling issues,
- You will do engagement on modelling issues with risk managers, product control, front-office quants and traders,
- You will develop independent models, from mathematical concepts to implementing using common library.
You are expected to have deep knowledge in the area of credit derivatives and CVA/EPE modelling, and will be trained in the use of pricing models within risk systems in Credit Suisse, and then supported in the testing of front-office pricing models and development of independent models.
You Offer:
- You have high level of technical quantitative skills,
- You have empirical and critical mindset, and an ability to look at problems in a creative way,
- You have some relevant experience in the area of Credit derivatives and CVA/EPE modelling,
- You have evidence of the above through higher degree in maths/physics/engineering/finance etc.
- You are accurate and confident, strong communication skills, in written and verbal
- You have some programming experience will be valuable.
Credit Suisse is an equal opportunity employer. Embracing diversity gives us a competitive advantage in the global marketplace and drives our success.
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