Quantitative Strategies Modeler (Securitized Products) Quantitative Strategies Modeler (Securitized  …

Credit Suisse
in New York, NY
Permanent, Full time
Last application, 22 Oct 20
Credit Suisse
in New York, NY
Permanent, Full time
Last application, 22 Oct 20
Credit Suisse
Quantitative Strategies Modeler (Securitized Products)
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 Quantitative Strategies Group at Credit Suisse is a modeling, analytics and trading risk group, whose directive is to work as a coordinated part of the Quantitative Analysis and Technology (QAT) team. The QAT team reports to the Chief Risk officer. Market risk modelers within the Quantitative Strategies Group are accountable for:

  • Developing models to quantify market risk to meet regulatory capital requirements, including but not limited to VaR models
  • Working with cluster risk managers and trading to ensure outstanding model development
  • Working with IT to get the models implemented
  • Detailing models and analysis
  • Establishing policies and processes covering market risk
The market risk models developed by the team are utilized for both internal risk management and calculating regulatory capital for market risk. The models are used globally across all legal entities and regulators.


The role is for a market risk modeler in the Securitized Products VaR methodology team, and the principle responsibilities include:

  • Develop and analyze new quantitative risk models for products traded by the Securitized Products business, and ensure their accurate implementation
  • Review existing models to ensure they remain fit for purpose and make improvements where necessary
  • Ensure all models are adequately documented (to SR11-7 standards) for both internal and external (e.g. regulatory) purposes
  • Understand the products traded and trading strategies used, and be able to explain to various business partners
  • Evaluate the impact of new models and capital rules
  • Work closely with the market risk managers to ensure that their concerns are appropriately reflected in the models
  • Collaborate closely with the model validation team to understand validation results and remediate concerns where necessary
  • Collaborate with the data, IT, and change management teams to ensure that methodology changes are appropriately project-managed for implementation

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 experience of 2+ years of quantitative modeling in the financial industry
  • Outstanding experience with Securitized Products and understanding of the risks they generate.
  • Proven knowledge of VaR and other market risk measures
  • Advanced degree in financial mathematics or a technical subject (mathematics, theoretical physics, econometrics, statistics, engineering, etc)
  • Strong quantitative and statistical modeling skills. A background in statistics, time series analysis and probability theory would be of particular interest.
  • Strong programming skills – experience in C#, C++ or Python are desirable!
  • Do possess strong communication skills?
  • Ability to explain complicated concepts clearly to our partners and present models and proposals in a clear and detailed manner to senior management and regulatory bodies.

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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