Model Risk Management Validation, AVP #119464
Posted on Dec 14, 2018 by Credit Suisse -
Part of Enterprise Risk Management (ERM) at Credit Suisse, the Model Risk Management (MRM) team has a mandate to validate the Bank's business-impactful models firm-wide and more generally to identify, measure and manage model risk across Credit Suisse. There are team members in New York, London, Zurich, Warsaw, Mumbai and Singapore.
As a member of the MRM team, you will get exposure to modelling in a wide variety of risk areas such as credit risk, market risk, and operational risk. 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 partners as well as peers are numerous, allowing you to widen and develop their network and reputation.
- Use business insights, as well as mathematical skills to evaluate financial models.
- Lead and manage independent validation reviews across a range of capital planning models.
- Meet business needs and regulatory expectations and investigate key aspects of each model under review, such as choice of modelling approach, the underlying assumptions and associated limitations, performance and optimal use of the model.
- Review, verify and validate risk models for theoretical soundness, testing design and identification of model weaknesses, ensure ongoing monitoring as well as contribute to the firm-wide model risk and control assessment.
- Demonstrate independence in planning and partner 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.
- Communicate various aspects of model validation to modelers, managements and regulators.
Credit Suisse maintains a Working Flexibility Policy, subject to the terms as set forth in the Credit Suisse United States Employment Handbook.
- You have 3+ years of experience in modeling or model validation in established financial institutions.
- You have a degree in a quantitative discipline, such as Mathematics, Physics, Engineering, Finance.
- Are you familiar with financial modelling and/or model validation?
- Are you client focused and able to communicate effectively with senior management, including explaining complex topics to a diverse range of audiences?
- You have experience managing/leading teams within the model validation and/or financial modeling area.
- You are able to structure and present work and deliver high quality results to strict deadlines.
- Do you have good knowledge of software applications such as R, Matlab, SQL and SAS?
- Have you been exposed to data management and analysis in Front Office IT?
- You bring broad experience in risk and capital models.