Quantitative Model Validation Analyst (XVA/ Credit) AVP Quantitative Model Validation Analyst (XVA/  …

Credit Suisse
in London, England, United Kingdom
Permanent, Full time
Last application, 19 Aug 19
Competitive
Credit Suisse
in London, England, United Kingdom
Permanent, Full time
Last application, 19 Aug 19
Competitive
Credit Suisse
Quantitative Model Validation Analyst (XVA/ Credit) AVP
We Offer
The Risk Division is a highly visible, dynamic area of the firm where you can be an integral part of the decision-making that supports the bank's business. Our responsibilities range from Enterprise Risk management to risk and finance reporting, and regional risk teams covering the risk management for our entities. The Risk division's long-term success depends on our ability to achieve our vision and fulfil our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and encourages leadership at all levels.

The Trading Model Validation team within MRM is responsible for validation and approval of Pricing models, Credit Exposure models and Market Risk VaR models. The vacancy is for a senior AVP model validation quant working on Pricing models for credit derivatives and XVA. Validation of all use cases of XVA models (pricing and credit exposure) is in the scope of this role. The relevant tasks include:
  • Reviewing and testing of pricing models for credit derivatives & XVA valuations, as well as use of XVA models for calculation of credit exposure metrics.
  • Clear documentation of all testing, with follow ups for identified modelling issues.
  • Engagement on modelling issues with model owners, risk managers, product control, and traders.
  • Development of independent models, from mathematical concepts to implementing using common library.

You will have relevant knowledge and some experience in the area of credit derivatives and XVA/EPE modelling, and will be trained in the use of pricing models within risk systems in Credit Suisse, and then supported in the testing of front-office pricing models and development of independent models.

Open to discussing flexible/agile working.

You Offer
You will offer:
  • High level of technical quantitative skills.
  • Empirical and critical mindset, and an ability to look at problems in an original way.
  • Some relevant experience in the area of Credit derivatives and CVA/EPE modelling.
  • Evidence of the above through higher academic degree, preferably PhD, in maths/physics/engineering/finance etc or equivalent work experience.
  • Accurate and confident written and verbal communication skills, we want you to contribute your interpersonal skills to our team.
  • Some programming experience will be valuable, preferably in Python and/or F#.

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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