Model Risk Management – Validation Review & QA Lead, US (CCAR, Enterprise Risk & Derivatives Pricing) Model Risk Management – Validation Review & QA  …

Credit Suisse
in New York, NY, United States
Permanent, Full time
Be the first to apply
Competitive
Credit Suisse
in New York, NY, United States
Permanent, Full time
Be the first to apply
Competitive
Credit Suisse
Model Risk Management – Validation Review & QA Lead, US (CCAR, Enterprise Risk & Derivatives Pricing)
We Offer
The role will be the Model Risk Management (MRM) - Peer Review & QA Lead for the US region (Pricing & Market Risk), reporting to the US Head of MRM (based in New York).

Responsibilities:
  • You will provide credible & effective challenge with subject-matter-expertise during the model validation process including validation testing and review the validation reports for Quality Assurance. Review findings in the area of Conceptual Soundness, Input Data, Assumptions and Limitations, Outcomes Analysis, implementation, Ongoing Performance Monitoring, documentation and model governance
  • Excellent knowledge on Statistical modeling techniques for CCAR, Loss/Capital Projection Estimation, CCEL, PPNR modeling, for Global Markets, Investment Banking / Capital Markets and Wealth Management, Enterprise Risk, Liquidity Risk, Funds Transfer Pricing and Operational Risk, Capital Markets Derivatives Pricing models across all asset-classes- Rates, FX, Equities, Securitized Products)
  • Articulate the validation findings / concerns in excellent written and verbal communication
  • You will liaise with regulators/ first line of defense and auditors on regulatory exams and audit demonstrating business and quantitative acumen with the US industry practices including business and quantitative.
  • Responsible for design, development and monitoring of Peer Review and Quality Assurance practices and ensure training to stakeholders including team members.
  • Perform Annual Review of models including the assessment of Self-identified issues by First Line of Defense.
  • Engage in New and Change of Product/Services to assess the new model or change requirement.
  • You will partner with global teams to socialize the Peer Review and QA process and practices
  • Oversee, present and follow-up with action-items at the regional Model Governance Committee meetings, Executive Committees, Board Committees and CCAR/DFAST Committees.
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook.

You Offer
Qualifications:
  • You have 10-15 years of experience with large Investment Banks, Financial Services or Big Consulting firms with model development or validation.
  • Excellent communication and interpersonal skills to engage with model owners (both technical quants and business line owners) and senior and management on business and quantitative aspects. Excellent technical and business writing skills.
  • Attention to detail, control and global mindset. Previous experience with model risk governance, regulators (FRB/NYDFS), auditors a plus.
  • You are familiar with investment banking businesses (securities/derivatives trading and/or capital markets) either in the business or a control function is preferable
  • PhD or Post-graduate degree in a quantitative discipline (finance, math, engineering, economics or science)
  • Experience with US regulations for models, particularly the intra-agency guidance (Federal Reserve SR11-7/ OCC-2011-12/ SR 15-18).
  • You have previous experience in either developing or validating CCAR, CCEL and Liquidity Risk Stress testing is a plus.
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