Credit Suisse - SRM Model Validation

We Offer :

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:

1. 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)

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

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

You Offer :

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.