Securitized Products - Modeler # 104548
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 lines and sits with the trading groups. The Quantitative Strategies Group reports to the Chief Risk officer.
The Quantitative Strategies group is looking for a modeler to 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 mortgage and other asset-backed securities and derivatives.
- Prior experience in prepayment modeling and analysis
- Familiarity with agency RMBS valuation and risk
- Solid quantitative and statistical modelling skills
- Demonstrated ability to work with the trading desk
- Exposure to and knowledge of financial markets
- Ability to work both independently and as part of a team
- Excellent written and verbal communication and presentation skills
- Solid C/C++ programming skills a plus
- Advanced technical degree (Mathematics, Physics, Engineering, Computing etc.)