Credit Suisse - Rates Trading Model Validation Role - Fixed Income

Rates Trading Model Validation

- 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.

Profile: 

- 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.

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.