Credit Suisse - Pricing Analysis Role - Trading Model Validation/Development

The Trading Model Validation team within MRM is responsible for validation and approval of Pricing models, Market Risk VaR/RNIV models and Credit Exposure models. The vacancy is for a junior model validation quant working on Market Risk VaR/RNIV models for Credit and CVA business areas. The relevant tasks include:

- Reviewing and testing of Market Risk VaR/RNIV models for Credit and CVA business areas

- Clear documentation of all testing, with follow-ups for identified modeling issues,

- Engagement on modeling issues with model owners and risk managers

- Development of independent models, from mathematical concepts to implementing using common library.

The successful candidate is expected to have relevant knowledge and some experience in the area of credit derivatives and market risk modeling and will be trained in the use of VaR/RNIV models within risk systems in Credit Suisse.

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 Market Risk VaR modelling,

- Evidence of the above through higher academic degree in maths/physics/engineering/finance etc.

- Accurate and confident written and verbal communication skills,

- Some programming experience will be valuable, preferably in Python and/or F#.