Model Risk Management-Validation
Credit Suisse
Mumbai, Mumbai, India
5d ago

We Offer

Part 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 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 stakeholders as well as peers are numerous, allowing the candidate to widen and develop their network and reputation.

The successful candidate will :

  • Participate in independent validation reviews across a wide range of core Risk Capital or other business-impactful models used throughout the bank, meeting business needs and regulatory expectations, with 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, ensuring ongoing monitoring, as well as contribute in the firm-
  • wide model risk and control assessment.

  • Be expected to demonstrate independence in planning and stakeholder 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.
  • 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, 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 and senior management.

    The range of projects covered offers the chance for team members to gain in-depth knowledge of products as well as models used in the risk management of equity derivatives and equity hybrids.

  • Essential :
  • 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.

  • A basic understanding of investment banking products and the sources of risks and revenues in banking.
  • 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.
  • Desirable :

  • Hands-on experience of statistical models and broader financial modeling.
  • Good knowledge including programming experience of software applications such as C++, C#, F#, R or Python.
  • Apply
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