Valuation Risk & Control - Fixed Income, VP
Credit Suisse is a leading global wealth manager with strong investment banking capabilities. Headquartered in Zurich, Switzerland, we have a global reach with operations in about 50 countries and employ more than 45,000 people from over 150 different nations. Embodying entrepreneurial spirit, Credit Suisse delivers holistic financial solutions to our clients, including innovative products and specially tailored advice. Striving for quality and excellence in our work, we recognize and reward extraordinary performance among our employees, provide wide-ranging training and development opportunities, and benefit from a diverse range of perspectives to create value for our clients, shareholders and communities. We are Credit Suisse. We Offer
A department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our cultural values.
Valuation Risk & Control (VRC) is a global specialized organization within Product Control and is responsible for providing independent validation of the fair market value of trading portfolios across all business divisions.
VRC's objective is to mitigate valuation risks with a focus on valuation consistency, accountability, and efficiency.
Our core values are integrity, technical leadership, and teamwork
VRC is a global team with 150 highly skilled professional across US, Europe and Asia. Job Description
- The VRC FID Technical VP is responsible for the following review and validation of Firm's recommended valuation models for fixed income product and risk factors
- Validate calibration routines and methodologies, and review scope of market data used
- Review recommended valuation adjustment for model weakness
- Recommend and approve valuation adjustment related to calibration bias
- Review consistency and completeness of IPV methodologies
- Perform and develop benchmark methodology for illiquid inventories and complex trades with limited observabilities
- Provide review on the appropriateness of consensus data submission and calibration for independent price verification / benchmarking
- Provide quantitative technical expertise and analysis to the VRC FID team for new complex trades or other valuation control matters.
- The VRC FID Technical VP is expected to work closely and collaboratively with Front office traders, model developer (quants strategies), model validation team (PMV) and BFO (Business Finance Officer) to accomplish our tasks.
- This is a VP position located in London, reporting directly to VRC Technical Lead of Fixed Income team.
- We are looking for a proactive teammate who has a solid quantitative background and experience in model calibration and benchmarking of valuation models and methodologies for fixed-income products and derivatives (Rates/FX/Commodities).
- Advanced degree (Master or PhD) in quantitative fields is required (math, quantitative finance, statistics, engineering).
- Proven industry and practical experience in valuation control and model calibration / benchmarking of fixed income derivatives and exotic products
- Hardworking individual with strong communication skills and the proven ability to communicate effectively with team across different locations.
- Partnership and collaboration to work with colleagues effectively and efficiently
- First line quantitative, trading and risk experience is preferred
- Managerial / mentor experience would be a plus!
- 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. This should be further elaborated on in your application.
Credit Suisse is committed to providing equal employment opportunities, regardless of ethnicity, nationality, gender, sexual orientation, gender identity, religion, age, civil partnership, marital or family status, pregnancy, disability or any other status that is protected as a matter of local law.
Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.