Market Risk Modeller # 103077
The Models and Methodology team is part of the Market and Liquidity Risk Management department, and is responsible for:
- Developing models to quantify market risk to meet regulatory capital requirements
- Working with cluster risk managers and FO to ensure best-in-class model development
- Work with IT to get the models implemented
- Documenting models and analysis
- Establishing policies and processes covering market risk
The market risk models are used for both internal risk management and calculating regulatory capital for market risk. The models are used globally across all legal entities and regulators.
The role is for a model developer in the Securitized Products methodology team, and the principle responsibilities include:
- Develop and analyse new quantitative risk models for products traded by the Securitized Products business, 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
- Understand the products traded and trading strategies used, and be able to explain to various stakeholders
- Evaluate the impact of new models and 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 project-managed for implementation
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook.
The candidate should have an advanced degree in financial mathematics or a technical subject such as mathematics, theoretical physics, econometrics, statistics or engineering. The candidate should also have 3+ years of experience working with mortgage backed securities (MBS) and credit products (loans, asset-backed securities, CDS etc). The role would suit a candidate with experience in quantitative risk measurement within an investment bank or, more broadly, with experience in a quantitative role within finance. It is essential that the candidate has a very good understanding of structured products and the risks they generate.
A solid quantitative background is essential. A background in statistics, time series analysis and probability theory would be of particular interest. In addition, the candidate should have good programming skills - experience in C#, R or Python are desirable. Strong communication skills are also essential. The candidate should be able to explain complicated concepts clearly to our partners and stakeholders, and present their proposals in a clear and precise manner to senior management and regulatory bodies.