Credit Suisse - ENO - Model Validation

Credit Suisse - ENO - Model Validation

Position Responsibility:

Part of Enterprise Risk Management (ERM) at Credit Suisse, the Model Risk Management (MRM) team has the 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, and Singapore. As a member of the MRM team, the candidate will get exposure to modeling 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 modeling 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 to the firm-wide model risk and control assessment.

- Be expected to demonstrate independence in planning and stakeholder engagement, testing design and execution, results in interpretation and presentation, and the production of documentation strong enough to evidence a sound challenge to both internal and external parties.

- The truly global scope of model risk means that this role will involve working with an incredibly broad group of stakeholders from every part of the firm, investigating model risk and model governance standards and performing detailed validation of risk models.

Position Qualification:

- Candidates for the role in the MRM team are expected to hold a first degree in a quantitative discipline, Eg. Mathematics, Physics, Engineering, Finance, and probably a Masters or Ph.D.

- Experience in financial modeling and/or model validation. Hands-on experience of risk and capital modeling, derivatives pricing and broader financial modeling is desirable, but regardless of experience, all candidates should be able to demonstrate an understanding of capital modeling, financial and derivative products and mathematics, from the private study if they have not previously worked in the financial sector.

- 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.