Model Validation (Securitized Products) (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
The Model Risk Management (MRM) team has a directive to review and approve the models used in the bank in order to make sure that the risk due to the model limitations and assumptions is accurately managed and mitigated.
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.
As part of the Securitized Products model validation team, you will focus on pricing model for Securitized Products. The models in scope cover a wide variety of products, including TBA, Spec Pools, CMOs, CMBS, ABS, CLO, CDO and Balance Guaranteed Swaps.
As a senior model validator manage independent validation reviews covering the following:
- Review the mathematical foundation of the model, assessing the correctness of the model equations and theory
- Develop alternative benchmarks, design back testing or other methodologies to test the conceptual soundness model assumptions.
- Assess if the model is implemented accurately, via independent re-implementation of the model in spreadsheets or coding language (Python, C#, F#, C++…)
- Test the model sensitivity to changes to the inputs and stability
Liaise with the other partners within the Firm, including Front Office Quants, Trading, Market Risk, Product Control for the model validation process and for the approval of new trades; in addition, you will represent the team in the governance forums.
We offer the opportunity to join a distributed team, with established presence in London, Zurich, Mumbai, Singapore, Warsaw, Hong Kong and New York. We are a distributed team that values diversity and partnership.
We offer flexible working arrangements You Offer
- Understand 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.
- Equivalent work experience of 6+ years in quantitative modeling for Securitized Products, as a model validator, front office quant or similar roles!
- Masters or PhD in a quantitative subject area, e.g. Mathematics, Physics, Engineering, Finance, Economics.
- Able to demonstrate detailed understanding of at least one of the following topics: Statistics, Stochastic Calculus, Numerical Analysis, and/or Derivative Pricing.
- Are you highly motivated with a collaborating mind-set?
- Proven track record of practical approach to problem solving with ability to explain complex topics to a diverse range of audiences.
- Outstanding programming experience (such as R, Python, C++, C#) is a plus
Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.
Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success. Credit Suisse complies with applicable federal, state, and local laws prohibiting discrimination in employment in every jurisdiction in which it maintains facilities. Subject to applicable law and regulatory requirements, Credit Suisse complies with state and local laws regarding considering for employment qualified individuals with criminal histories.