The Model Risk Management (MRM) team has a mandate to validate the Bank's business-impactful models firm-wide and more generally to identify, measure and run model risk across Credit Suisse. The team is established in London, Zurich, Mumbai, Singapore, Warsaw, Hong Kong and New York.
As the FX and Commodities Model Validation Lead in Zurich, you will run independent validation reviews for FX and Commodities Trading models (i.e. pricing models, VaR models, etc.) meeting business and regulatory expectations with responsibility for investigating key aspects of each model under review: choice of modelling approach, the underlying assumptions and associated limitations, performance and optimal use of the model, etc.
You are being part of our diverse team and represent it in senior internal governance forums and relevant regulatory meetings.
A platform to demonstrate independence in planning and business partner engagement, testing design and execution, results interpretation and presentation, and the production of documentation strong enough to evidence a sound challenge to both internal and external parties.
You hold a Masters or PhD in a quantitative discipline, e.g. Mathematics, Physics, Engineering, Finance, Economics with experience in financial modelling and/or model validation.
You have previous experience (5-10 years) including quantitative modelling for FX and Commodity products. Experience in Market Risk models (VaR, RNiV) is a plus.
You have hands-on experience in risk and capital modelling, derivatives pricing and should be able to demonstrate an understanding of capital modelling, financial and derivative products and mathematics.
A partnering mindset, with a practical approach to problem solving and effective communication with senior business partners, including the ability to explain complex topics to a diverse range of audiences.
Good programming experience is a plus (such as R, C++, C#),
Are you a dedicated problem solver with a positive personality and can-do attitude? Do you show a flexible and committed approach and are willing to learn continuously?
Are you highly motivated, strict, task focused and have a proven track record of delivering high quality results to strict deadlines?
Mr. M. Payer (HLOF 44) would be delighted to receive your application.
Please apply via our career-portal.
Internal Number: 6389336
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