Senior Model Validation Quant for Securitized Products
The Model Risk Management (MRM) team serves as an independent function responsible for leading all aspects of model risk at Credit Suisse, and ensuring compliance with this policy. The team is global and established in different regions, including New York, Raleigh, London, Zurich, Singapore, Hong Kong, Mumbai and Warsaw.
The Trading Book Model Validation team within MRM performs independent validation of pricing and market risk models for business use. As a member of the Trading Model Validation team in Raleigh, you will get exposure to a wide broad range of financial models, including Pricing models, Capital Model (VaR/RniV) and other Trading-related models. The team's broader model risk scope also guarantees a significant level of interest and visibility to the business and senior management.
- We offer you the opportunity to perform independent validation reviews for Pricing, Risk Capital (VaR/RNiV) and other models used for the Securitized Products business.
- While meeting business needs and regulatory expectations, you will have the chance to investigate key aspects of each model under review: choice of modelling approach, the underlying assumptions and associated limitations, implementation, performance and optimal use of the model, etc.
- You will present your model validation documentation to our business partners, to financial regulators as well as to peers, widening and developing your network and reputation.
- We offer you the opportunity to join our diverse, global and collaborative team, which promote ongoing training and development.
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook. You Offer
- You have 4+ years' experience in financial modelling, preferably for Securitized Products, such as Residential Mortgage-backed securities, Commercial Mortgage-backed Securities and Asset-backed Securities.
- You hold a Masters or PhD in a quantitative discipline, e.g. Mathematics, Physics, and Engineering with experience in financial modelling and/or model validation.
- You have hands-on experience in risk and capital modelling, derivatives pricing and should be able to demonstrate an understanding of capital modelling, financial and derivative products and mathematics.
- A partnering mindset, with a practical approach to problem solving and effective communication with senior business partners, including the ability to explain complex topics to a diverse range of audiences.
- Good programming experience is a plus (such as R, C++, and C #).