Quantitative Strategies Modeler - Securitized Products (Agency RMBS) (DIR) Quantitative Strategies Modeler - Securitized  …

Credit Suisse
in New York, NY
Permanent, Full time
Last application, 12 Jan 21
Competitive
Credit Suisse
in New York, NY
Permanent, Full time
Last application, 12 Jan 21
Competitive
Credit Suisse
Quantitative Strategies Modeler - Securitized Products (Agency RMBS) (DIR)
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 global Conduct and Ethics Standards.
The Chief Risk and Compliance Officer function is a highly visible, dynamic area where you can be an integral part of the decision-making that supports the bank's business. We drive strategic and sustainable returns, and offer risk, controls and regulatory advice. You will in a team that is renowned for supporting innovation, creativity and entrepreneurial ideas. We believe our colleagues are our best asset.
The Quantitative Strategies Group at Credit Suisse is a modelling, analytics and trading risk group, whose mandate is to work as an integrated part of the trading team to develop and deliver: pricing models; risk analytics; trader tools for risk management, hedging, and relative value; management tools and techniques to optimize trading decisions across Global Markets' portfolio risks and capital. The group is organized along business divisions and sits with the trading groups.
The Quantitative Strategies Modeler will work within the Securitized Products (SP) team. The role will focus on model development and quantitative support for the Securitized Products business, with a focus on pricing and risk management of Agency RMBS mortgage products. The modeler will work closely with trading desk to develop and improve the suite of Agency models, and they will manage timely quantitative insight and ad hoc analyses.
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook.

You Offer
  • 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.
  • At least 8 years of experience in Agency RMBS prepayment modeling and analysis
  • Advanced technical degree (Mathematics, Physics, Engineering, Computing etc.)
  • Familiarity with Agency RMBS valuation and risk
  • Excellent quantitative and statistical modeling skills
  • Proven ability to work with the trading desk
  • Hardworking, result oriented with ability to learn and work both independently and as part of a team in a fast paced environment
  • Outstanding written and verbal communication and presentation skills
  • Proficient C/C++ programming skills 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 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.
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