Model Risk Management- Validation

  • Company:
    Credit Suisse Securities ( India ) Pvt Ltd
  • Location:
  • Salary:
    negotiable / month
  • Job type:
    Full-Time
  • Posted:
    2 weeks ago
  • Category:
    Financial Services/Stockbroking | Banking

Skill: maths , physics , english; Exp: 0-3 years; Model Risk Management- Validation # 119672 India-Mumbai-Mumbai | Full-time | Corporate Functions | Job ID 119672 Risk Management English Credit Suisse is a leading global wealth manager with strong investment banking and asset management capabilities. Founded in 1856, Credit Suisse has expanded to be a global force employing over 45,000 people in 50 countries. With new leadership, a new strategy and a streamlined global organization, we are set for growth. We partner across businesses, divisions and regions to create innovative solutions to meet the needs of our clientsand to help our employees grow. It is a high priority for us to continually invest in our employees by providing ongoing opportunities for training, networking and mobility. Join us and let’s shape the future of Credit Suisse together. We Offer The Pricing Model Validation team within MRM is responsible for managing the risk from the use of Pricing Models in the valuation and hedging of traded derivatives. The vacancy is for a senior AVP model validation quant working on models for credit derivatives and CVA/DVA. The tasks of the team include reviewing and testing of front office pricing models for credit derivatives, CVA/DVA valuations, and other counterparty default related valuations, clear documentation of all testing, with follow ups for identified modelling issues, engagement on modelling issues with risk managers, product control, front-office quants and traders, development of independent models, from mathematical concepts to implementing using common library. The successful candidate is expected to have some relevant knowledge in the area of credit derivatives and CVA/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. You Offer Role requirements 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 degree in maths/physics/engineering/finance etc. Accurate and confident written and verbal communication skills, Some programming experience will be valuable.

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