Rates Model Validation (VP) - Model Risk Management
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
We are 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 cultural values
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 balanced returns, and offer risk, controls and regulatory advice. Be the part of a team that is renowned for its dynamic and engaged culture. We believe our colleagues are our best asset.
- 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.
- As part of the Rates model validation team, you will focus on the validation of the pricing and VaR models for the Rates business. The models in scope cover a wide variety of products, including Rates vanilla, exotics and hybrids.
- As a senior model validator, manage independent validation reviews performed by yourself or more junior team member covering the following
- Review the mathematical foundation of model, assessing the correctness of model equations and theory
- Develop alternative benchmarks, craft 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
- Collaborate closely with the other business 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.
- Able to manage working in flexible working arrangements
- Build approach of getting-it-right-first-time and encourage a behavior of continual learning and improvement
- List of skills and qualification encouraged in an applicant:
- Understand the value of diversity in the workplace and are 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.
- Equivalent experience of at least 6+ years' in quantitative modeling for Rates, as a model validator, front office quant or similar roles.
- Masters or PhD in a quantitative subject area, e.g. Mathematics, Physics, Engineering, Finance, and Economics.
- Outstanding understanding of derivative pricing for vanilla and exotics (e.g. swaps, swaptions, caps/floor, Bermudan swaptions, CMS, CMS spreads, callable trades etc.).
- Highly motivated and have a teaming mind-set.
- Practical approach to problem solving and you are able to explain complex topics to a diverse group of audiences.
- Proven experience with programming is a plus (such as R, Python, C++, C#)!
- Proven track record with relationship building, influence, negotiation and consultation skills
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.