VaR Horizontal Model Validation Lead’ (DIR) VaR Horizontal Model Validation Lead’ (DIR) …

Credit Suisse
in London, England, United Kingdom
Permanent, Full time
Be the first to apply
Competitive
Credit Suisse
in London, England, United Kingdom
Permanent, Full time
Be the first to apply
Competitive
Credit Suisse
VaR Horizontal Model Validation Lead’ (DIR)
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.

P art of Enterprise and Operational Risk Management (EORM) 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, New York, Mumbai, Warsaw, Hong Kong and Singapore. As a member of the MRM team, the candidate will get exposure to VaR and RNIV modelling across all asset classes such as Equities, Rates, Credit, Securitized Products and FX/Commodities. 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 stakeholders as well as peers are numerous, allowing the candidate to widen and develop their network and reputation.

The successful candidate will join the Trading Model Validation team within the MRM group which is responsible for the validation of trading models such as Pricing, VaR, RNIV, Counterparty, Algo and AI models. The successful candidate will:
  • Ensure consistency of standards across the validation activities pertaining to VaR and RNIV models across all asset classes.
  • Liaise with the vertical cluster heads and provide expertise with regards to key aspects of each model under review: choice of modelling approach, the underlying assumptions and associated limitations, performance and optimal use of the model, timeseries etc.
  • Be responsible for the validation of the list of the horizontal VaR/RNIV models i.e. models which are applicable across all clusters. Review, verify and validate those 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.
  • Represent the Trading Model Validation team in senior internal governance forums, prepare the relevant presentation materials and ensure flow of information to the VaR validation teams.
  • Participate in the IMA relevant regulatory meetings and coordinate the activities pertaining to the material preparation.
  • Liaise with all relevant internal and external stakeholders and ensure appropriate governance is being followed as part of the IMA validation activities within the Trading Model Validation team. Be expected to demonstrate independence in planning and stakeholder engagement, results interpretation and presentation.

As part of the Model Validation team within Model Risk Management the candidate will gain training and exposure to modelling in areas such as risk models across all asset classes as well as other modelling areas like pricing models. The specific role combines validation and governance activities and will allow the successful candidate to widen their expertise beyond the traditional quantitative activities. Liaising with senior management and the regulators is also another aspect of the specific role. The current heightened regulatory and governance framework guarantees a significant level of responsibility and visibility to the business and senior management.
  • We want you to contribute your interpersonal skills to our team.

Open to discussing flexible/agile working.

You Offer


  • You will have previous quantitative experience within an investment bank validating or developing VaR models with a good understanding of products traded and risks generated by trading strategies.
  • Candidates for the role in the MRM team are expected to hold a first degree in a quantitative discipline, e.g. Mathematics, Physics, Engineering, Finance, and preferably a Masters or PhD, having a strong mathematical background in statistics, time series analysis and probability theory is essential.
  • Good programming skills using one of the following C#, F#, Python or R.
  • 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.

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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