Website Credit Suisse
A department which values Diversity and Inclusion (D&I) and is committed to realizing the firm’s D&I ambition which is an integral part of our global Conduct and Ethics Standards The truly global scope of model risk means that this role will involve coordinating with an exceptionally broad group of partners from every part of the firm, investigating model risk and model governance standards and performing detailed validation of stress-testing models.
- Lead and manage independent validation reviews across a wide range of Scenario and Stress Testing models used throughout the Investment Bank Division including the CCAR for US entity, ICAAP for UK as well as Group-wide tests
- Meeting business needs and regulatory expectations, with investigating key aspects of each model under review choice of modeling approach, the underlying assumptions and associated limitations, performance and efficient use of the model, etc.
- Encouraged to demonstrate independence in planning and client engagement, testing design and execution, results interpretation and presentation, and the production of documentation strong enough to evidence a sound challenge to both internal and external parties.
- Build model risk reports, including authoring and presentation of validation reports for the attention of senior management, supervisory authorities, and model collaborators.
- Partner with peer validation leads covering Private Banking and Wealth Management products to produce comprehensive, firm-wide and entity-wide assessments of model risk
- Represent the bank in interaction with Regulators, as required.
- Review, verify and validate stress-testing models for theoretical soundness, testing design and identification of model weaknesses, ensuring ongoing monitoring, as well as work in the firm-wide model risk and control assessment.
- Extensive experience in financial modeling and/or model validation, in statistical quantitative models as well as qualitative empirical driven methodologies
- Hardworking, result oriented with the ability to learn quickly in a fast paced environment
- A general understanding of global regulatory requirements to be a credible counterpart given the challenging variety of models in scope. This includes SR letters 11-7 and 15-18
- Detailed knowledge including programming experience of software applications such as R, Matlab, SQL and SAS is a plus
- Outstanding written and verbal communication skills to effectively interact with senior partners (internal, external, Regulators), including the capability to explain complex topics to a diverse range of audiences.
Qualification & Experience:
- Hold a first degree in a quantitative field, e.g. Mathematics, Physics, Engineering, Finance, and preferably a Masters or PhD.
Company: Credit Suisse
Vacancy Type: Full Time
Job Location: Rochester, NY, US
Application Deadline: N/A