We Offer The Models and Methodology team is part of the Market and Liquidity Risk Management department, and is responsible for:
Developing models to quantify market risk to meet regulatory capital requirements
Working with cluster risk managers and FO to ensure best-in-class model development
Work with IT to get the models implemented
Documenting models and analysis
Establishing policies and processes covering market risk
The market risk models are used 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 model developer in the Credit Products Methodology team, and the principle responsibilities include:
Develop and analyze new quantitative risk models for products traded by the Credit Products business, and ensure their correct 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 stakeholders
Evaluate the impact of new models and capital rules, including FRTB IMA and CVA VaR.
Collaborate 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
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook.
You should have an advanced degree in financial mathematics or a technical subject such as Mathematics, Theoretical Physics, Econometrics, Statistics or Engineering. You have gained 3+ years of experience working with credit products (CDS, Bonds, Loans, Asset backed swaps). The role would suit a you if you have experience in quantitative risk measurement within an investment bank or, more broadly, with experience in a quantitative role within finance. It is critical that you have a very deep understanding of fixed income securities modeling. In addition, knowledge of securitized products (MBS, ABS) is a plus.
A strong quantitative background is needed. A background in statistics, time series analysis and probability theory would be of particular interest. In addition, you should have good programming skills - experience in C#, R or Python are desirable. Strong interpersonal skills are also important. The candidate should be able to explain complicated concepts clearly to our partners, and present their proposals in a clear and precise manner to senior management and regulatory bodies.
Internal Number: 5857799
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