07/12 Shilpa Mahapatra
HR at Credit Suisse

Views:2566 Applications:85 Rec. Actions:Recruiter Actions:27

Credit Suisse - Rates Trading Model Validation Role - Fixed Income (7-10 yrs)

Mumbai Job Code: 641953

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.


- 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.

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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