Equity Derivatives Model Risk Management - Validation (VP)

Recruiter
Credit Suisse
Location
London, UK
Salary
Competitive
Posted
03 Oct 2019
Closes
19 Oct 2019
Ref
1285430337
Sector
Accountancy
Contract Type
Permanent
Hours
Full Time
We Offer
Part of Enterprise Risk Management (ERM) at Credit Suisse, 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 manage model risk across Credit Suisse. The team is established in London, Zurich, Mumbai, Singapore, Warsaw, Hong Kong and New York.

As a member of the MRM team in London, you will get exposure to modelling in a wide variety of models in areas such as pricing and risk models (VaR/RNIV, EPE) and other business-impactful models used throughout the bank etc.

The team's broader model risk scope also guarantees a significant level of interest and visibility to the business and senior management. Opportunities to present results to business partners as well as peers are numerous, allowing you to widen and develop their network and reputation.

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 you the opportunity to manage independent validation reviews across a wide range of core Risk Capital, Pricing or other business-impactful models used throughout the bank.
  • You will be required to meet business needs 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 will review, verify and validate financial models for theoretical soundness, testing design and identification of model weaknesses, ensuring ongoing monitoring as well as contribute in the firm-wide model risk and control assessment.
  • Being part of our diverse team and represent it in senior internal governance forums, craft relevant presentation materials and ensure flow of information to the respective validation teams.
  • You will participate in the relevant regulatory meetings and coordinate the activities pertaining to the material preparation.
  • We expect you to demonstrate independence in planning and business partner engagement, testing design and execution, results interpretation and presentation, and the production of documentation that evidences a sound challenge to both internal and external parties.


You Offer
  • You hold a Masters or PhD in a quantitative discipline, e.g. Mathematics, Physics, Engineering with experience in financial modelling and/or model validation.
  • You have experience in financial modelling for Equity Derivatives products. Focus on Market Risk models (VaR, RNiV, FRTB) is an added advantage.
  • You have hands-on experience in risk and capital modelling, derivatives pricing and should be able to demonstrate a deep understanding of capital modelling, financial and derivative products and mathematics.
  • You have 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 C#, F#, Python or R).
  • You are highly motivated, disciplined, task focused and have a proven record of delivering high quality results to strict deadlines.
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. This should be further elaborated on in your application.

Credit Suisse is committed to providing equal employment opportunities, regardless of ethnicity, nationality, gender, sexual orientation, gender identity, religion, age, civil partnership, marital or family status, pregnancy, disability or any other status that is protected as a matter of local law

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