Model Risk Management - Validation Analyst
As part of the Trading Book Model Validation team within Model Risk Management you will gain training and exposure to modelling in areas such as equity derivatives and equity-hybrids (EQ-FX, EQ-Rates). The current heightened regulatory and governance framework guarantees a significant level of responsibility and visibility to the business and senior management. The range of equity derivatives and equity hybrids projects covered offers the chance for team members to gain in-depth knowledge of products as well as models used in pricing, risk management and capital calculations.
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 global Conduct and Ethics Standards Responsibilities:
- Validate Front-Office pricing models and market risk models for Equity Derivatives and Equity Hybrids.
- Test model design including model limitations and assumptions, ensuring effective challenge to Front-Office and partner concern of identified issues.
- Manage 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 business partners across Front-Office quants and Trading, Market Risk and Product Control.
- Research alternative benchmark models and methodologies to estimate model risks.
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook. You Offer
- Detailed knowledge of derivatives pricing models, stochastic calculus, financial modelling, statistics and econometrics.
- Bachelors and/or a Master's degree in a quantitative discipline, e.g. Mathematics, Physics, Engineering, Finance, and PhD preferred.
- Experience with a relevant programming language: Python, C#, F# or R.
- Ideally with relevant past experience related to Model Validation, Quantitative Analysis or Quantitative Risk Management.
- Hardworking and a phenomenal teammate with good interpersonal skills, computational and strong written and verbal communication skills.
- 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.