19 days old

Rates Model Validation (VP) - Model Risk Management

Credit Suisse
New York, NY 10007
  • Job Code
    165820
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.

We offer the opportunity to join a diverse team, with established presence in London, Zurich, Mumbai, Singapore, Warsaw, Hong Kong and New York. We are a team that values diversity and partnership

Responsibilities:

The Model Risk Management (MRM) team has a mandate 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 properly managed and mitigated.

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.

Manage independent validation reviews performed by yourself or more junior team member covering the following:

  • Review the mathematical foundation of the model, assessing the correctness of the model equations and theory
  • Develop alternative benchmarks, design backtesting or other methodologies to test the conceptual soundness model assumptions.
  • Assess if the model is implemented correctly, 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
  • Coordinate the other key 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.

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.
  • 6 years experience in quantitative modelling for Rates, as a model validator, front office quant or similar roles.
  • Masters or PhD in a quantitative subject, e.g. Mathematics, Physics, Engineering, Finance, Economics.
  • Detailed understanding of at least one of the following topics: Statistics, Stochastic Calculus, Numerical Analysis, and/or Derivative Pricing.
  • Outstanding interpersonal and leadership skills to build positive relationships with management
  • Proven problem solving skills to explain complex topics to a diverse range of audiences.
  • Hardworking, result oriented with ability to learn quickly in a fast paced environment
  • Good programming experience (such as in R, Python, C , C#) is a plus






Posted: 2021-01-06 Expires: 2021-02-04
Sponsored by:
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Sponsored by:
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Rates Model Validation (VP) - Model Risk Management

Credit Suisse
New York, NY 10007

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