Credit Suisse - MLRM - ENO Model Validation

MLRM - ENO MODEL VALIDATION

Job Specification : Model Validation Analyst

Background Information :

SRM Model Validation responsible for providing independent review of the pricing models using by the derivatives trading business. It is currently based in London (11), New York (3) and Singapore (3).

The group's core function of validating pricing models has grown to include more activity organised within the Market Risk group such as pre-trade approval. Alongside this there is a need to increase the completeness of the validation by covering all models and to increase the breadth and depth of validation documentation.

The Mumbai team will take ownership of certain key validation activities, namely :

- Review of the models that are not covered by the existing process (these are deemed to be low risk usually on the basis of materiality but may be complex trades)

- System Integrity Testing - testing the behaviour of the approved models across all the strategic risk management systems. This includes vendor systems.

- Carrying out the re-review process for approved models by re-running tests, validating assumptions and updating the documentation

Qualifications :

- An advanced degree in Mathematics, Physics, Engineering, Computing or Finance

- A PhD is preferred.

Skills and Experience :

- The role requires solid experience in Mathematical Finance and Financial Modelling.

- Excellent communication skills, written and verbal, in English are a pre-requisite.

- Project management skills are essential, including being able to manage multiple projects across different regions, asset classes and people to tight deadlines.

- The role should provide quality assurance around the quality of the work produced by the Mumbai group. This will include providing technical feedback as well as ensuring all appropriate policies and guidelines have been followed.

Personal Qualities :

- The Model Validation group is a global team and the functional management for Mumbai is in a substantially different time zone (New York). Good communication with the other centers by utilizing all available methods.

Potential for Progress :

- The role will provide exposure to the complex instruments of a major financial firm and is an excellent platform for building a career in derivatives.

- Progress is available to more senior roles or to other roles in the investment bank both within Market Risk and the Front Office.

- Credit-Suisse is a strong supporter of internal mobility.