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Model Risk Management-Validation # 128322

at Credit Suisse

Posted: 8/8/2019
Job Status: Full Time
Job Reference #: 128322
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Job Description

The Risk division is a highly visible, dynamic area of the firm where you can be an integral part of decisions making that supports the bank's business. Our responsibilities range from enterprise risk management to risk and finance reporting and regional risk teams covering the risk management for our entities.

 

The Risk division's long-term success depends on our ability to achieve our vision and fulfill our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and ambitious environment that offers direct contact with senior management and encourages leadership at all levels.

 

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 handle model risk across Credit Suisse. The team is established in London, Zurich, Mumbai, Singapore, New York, and Warsaw.

As an entry level member of the MRM validation team you will get exposure to modeling in a wide variety of risk areas such as credit risk, market risk, operational risk etc. The current heightened regulatory focus on these areas and the team's broader model risk scope also guarantees a significant level of interest and visibility to the business and senior management.

 

  • You will review, verify and validate risk models for theoretical soundness.
  • You will test model design and identification of model weaknesses, ensuring ongoing monitoring as well as contribute in the firm-wide model risk and control assessment.
  • You will be expected to demonstrate independence in testing design and execution, results interpretation and presentation, and the production of documentation solid enough to evidence a sound challenge to both internal and external parties.

 

This role will involve working with a deeply broad group of partners from every part of the firm, investigating model risk and model governance standards and performing detailed validation of risk models.



Qualifications

  • You hold a first degree in a quantitative discipline, e.g. Mathematics, Physics, Engineering, Finance, and probably a Masters or PhD.
  • You have deep knowledge in financial modelling and model validation or demonstrate a deep understanding of capital modeling, financial and derivative products and mathematics.
  • You are able to communicate effectively with business partners and to present complex topics to a diverse range of audiences.
  • You have analytical skills, computational and strong communication skills.
  • You have hands-on experience of risk and capital modeling, derivatives pricing and broader financial modeling is desirable.
  • Deep knowledge including programming experience of software applications such as R, Matlab, SQL and SAS.