Your field of responsibility
The Quantitative Strategies Group at Credit Suisse is a modeling, analytics and trading risk group, whose mandate is to work as an integrated part of the Quantitative Analysis and Technology (QAT) team. The QAT team reports to the Chief Risk and Compliance Officer. Market risk modelers within the Quantitative Strategies Group are responsible for:
- Developing and implementing models to quantify market risk.
- Working with market risk managers and trading to ensure best-in-class model development.
- Developing analysis tools for risk management and performing analysis of the risk drivers in the firm’s portfolio.
- Producing high quality model documentation.
The market risk models developed by the team are utilized for both internal risk management and calculating regulatory capital for market risk. The models are used globally across all legal entities and regulators.
Key responsibilities of the role
The role is for a senior market risk modeler in the VaR methodology team, and the principle responsibilities include:
- Develop and analyze new quantitative risk models for products traded by the Global Market businesses, and ensure their correct implementation.
- Review existing models to ensure they remain fit for purpose and make improvements where necessary.
- Ensure all models are adequately documented (to SR11-7 standards) for both internal and external (e.g. regulatory) purposes.
- Assess periodically compliance of models against regulatory capital rules.
- Collaborate closely with the market risk managers to ensure that their concerns are appropriately reflected in the models.
- Collaborate closely with the model validation team to understand validation results and remediate concerns where necessary.
- Collaborate with the data, IT, and change management teams to ensure that methodology changes are appropriately implemented.
- Contribute to support and improve the governance process.
Your skills and experience
A successful candidate will have:
- 6-9 years of experience in methodology in one of the area (market, credit, etc.).
- Deep understanding of derivative products
- Master’s or PhD degree in financial mathematics or a technical subject (e.g. mathematics, theoretical physics, operations research, statistics, engineering, etc).
- Strong quantitative and statistical modeling skills. A background in statistics, time series analysis, econometrics and probability theory would be of particular interest.
- Strong programming skills – experiences in C++/C#/Java, Python or R are desirable.
- Strong interpersonal and communication skills are essential. You must have the ability to explain complicated concepts clearly to our partners and present models and proposals in a clear and precise manner to senior management and regulatory bodies.
- Result oriented, dedicated, hardworking who can work on own initiative and can deliver on time with a high level of integrity, sense of urgency, attention to detail and quality standards.
- Understand the value of diversity in the workplace and are 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.
Your new employer
Find a new home for your skills, ideas, and ambitions. Credit Suisse offers you the ideal environment to progress your career, attractive benefits and excellent training.
We are a leading wealth manager with strong global investment banking capabilities founded in 1856. Headquartered in Zurich, Switzerland, and with more than 45,000 employees from over 150 nations, we are always looking for motivated individuals to help us shape the future for our clients.
Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success. Our bank provides reasonable accommodations to qualified individuals with disabilities, as well as those with other needs or beliefs as may be protected under applicable local law. If you require assistance during the recruitment process, please let your recruiter know.