92 days ago on tas-creditsuisse.taleo.net

Senior Quantitative Analyst (Model Risk Management)

Credit Suisse AG

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Senior Quantitative Analyst (Model Risk Management)

Senior Quantitative Analyst (Model Risk Management) # 075235
Switzerland-Region Zurich-Zürich | Full-time | Corporate Functions | 

Job ID

 075235English

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 and New York.

 

 

Role Description:

 

The successful candidate will: 

  • Be expected to lead and manage independent validation reviews across a wide range of core Risk Capital or other business-impactful models used throughout the bank, meeting 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.
  • Review, verify and validate risk 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.
  • Be expected to demonstrate independence in planning and stakeholder engagement, 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.

 

The truly global scope of model risk means that this role will involve working with an incredibly broad group of stakeholders from every part of the firm, investigating model risk and model governance standards and performing detailed validation of risk models.

You Offer
 

Essential:

  • A first degree in a quantitative discipline, eg. Mathematics, Physics, Engineering, Finance, and probably a Masters or PhD.
  • At least 4-6 years of experience in model validation and/or financial modelling. Hands-on experience of risk and capital modeling, derivatives pricing and broader financial modeling is desirable, but regardless of experience all candidates should be able to demonstrate an understanding of capital modeling, financial and derivative products and mathematics. 
  • Client focus and the ability to communicate effectively with senior stakeholders, including the ability to explain complex topics to a diverse range of audiences.
  • Self-motivation, discipline, task focus, the ability to structure and present work and a proven record of delivering high quality results to strict deadlines.

 

Desirable:

  • Experience of managing/leading teams, ideally in the context of model validation and/or financial modeling.
  • Experience of validation of models for Stress Testing, Scenarios and/or CCAR would be a plus.
  • Experience in data management and analysis or in Front Office IT would be an advantage.
  • Good knowledge including programming experience of software applications such as R, Matlab, SQL and SAS.
Nov 2, 2016