Pricing Model Validation Quant VP
Credit Suisse is a leading global wealth manager with strong investment banking capabilities. Headquartered in Zurich, Switzerland, we have a global reach with operations in about 50 countries and employ more than 45,000 people from over 150 different nations. Embodying entrepreneurial spirit, Credit Suisse delivers holistic financial solutions to our clients, including innovative products and specially tailored advice. Striving for quality and excellence in our work, we recognize and reward extraordinary performance among our employees, provide wide-ranging training and development opportunities, and benefit from a diverse range of perspectives to create value for our clients, shareholders and communities. We are Credit Suisse.
The Model Risk Management (MRM) team at Credit Suisse 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, New York, Mumbai, Warsaw, Hong Kong and Singapore. As a member of the MRM team, you will get exposure to modelling 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. Opportunities to present results to business partners as well as peers are numerous, allowing the candidate to widen and develop their network and reputation.
The successful candidate will:
- Act at a Vice-President (VP) level, validate equities Pricing models to ensure they remain fit for purpose and recommend improvements where necessary, including assessing model risk from assumptions and limitations.
- Chance to lead independent validation reviews across a wide range of Pricing models and other business-impactful models used throughout the bank, meeting business needs and regulatory expectations. 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. Ensure ongoing monitoring, as well as contribute in the firm-wide model risk and control assessment.
- Be expected 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 will gain training and exposure to modelling in areas such as risk models, equity derivatives and equity-hybrids (EQ-FX, EQ-IR). The current heightened regulatory and governance framework guarantees a significant level of responsibility and visibility to the business. The range of projects covered offers the chance for team members to gain detailed knowledge of products as well as models used in the risk management of equity derivatives and equity hybrids.
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.
- Previous experience in quantitative risk management within an investment bank validating or developing derivative pricing models for Equities & Equity-Hybrids.
- Detailed understanding of products traded and risks generated by trading strategies.
- Hold a first degree in a quantitative field, e.g. Mathematics, Physics, Engineering, and preferably a Masters or PhD. Strong mathematical background in stochastic calculus, numerical methods and probability theory is essential.
- Proficient programming skills using one of the following Python, C# or F#.
- Client focus, results-oriented with the ability to communicate efficiently with senior business partners and explain complex topics to a broad range of audiences.
- Hardworking, disciplined individual who can prioritize work and deliver high quality results to strict deadlines.
- Outstanding written and verbal communication, interpersonal skills.
- 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 an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success. 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.
Credit Suisse is committed to providing equal 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.
Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success