Quant Risk Model Developer

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POST DATE 9/14/2016
END DATE 10/19/2016

Credit Suisse New York, NY

New York, NY
AJE Ref #
Job Classification
Full Time
Job Type
Company Ref #
Mid-Career (2 - 15 years)


Job ID:



New York



Business Area:

Corporate Functions



Credit Suisse is a leading global wealth manager with strong investment banking and asset management capabilities. Founded in 1856, Credit Suisse has expanded to be a global force employing over 45,000 people in 50 countries. With new leadership, a new strategy and a streamlined global organization, we are set for growth. We partner across businesses, divisions and regions to create innovative solutions to meet the needs of our clients and to help our employees grow. It is a high priority for us to continually invest in our employees by providing ongoing opportunities for training, networking and mobility. Join us and let's shape the future of Credit Suisse together.


Market and Liquidity Risk Management (MLRM), Credit Suisse, is looking for a Quantitative Analyst to join its team in New York. Quantitative Analysis group is responsible for pricing model validation and risk methodology development for all investment banking businesses in Credit Suisse.

This role will be primarily responsible for assisting MLRM in development of methodology and ongoing calculations of risk and scenarios. Best suited candidates will have a solid quantitative background, experience in building valuation and risk models, and solid verbal and written communication skills.

This role will especially appeal to candidates who have:

* experience in risk modeling of one or more derivative and cash products (interest rate, FX, credit, equity, emerging markets, and securitized products);

* solid understanding of VaR and time series modeling;

* an ability to work in dynamic cross functional and cross product teams;

* a keen interest in regulation; and

* solid interpersonal and communication skills.

This role requires solid analytical skills to identify gaps in risk models and develop new risk models. Incumbents in this role are expected to work on methodology and write documents for model validation and regulatory submission.

Main responsibilities include

* Develop and enhance risk and capital models

* Collaborate with clusters and risk methodology teams to develop risk models

* Prepare documentation for model validation and regulators

* Provide leadership to risk IT teams in model development and implementation


* Undergraduate with a quantitative major (e.g., Engineering, Mathematics, Physics, Statistics)

* Graduate with a quantitative or Finance major

* Four to six years experience in quantitative analysis, development or validation of pricing models, trading, structuring, or risk management in a financial or academic institution

* Knowledge of rules to calculate risk weighted assets (RWA) for regulatory capital

* Solid written and verbal communication skills

* Ability to work well in a team, collaborate across management ranks and functional skills

* Knowledge of an object oriented programming language, relational databases and structured query language (SQL), statistical analysis tools, and Microsoft Office

* Knowledge of risk and modeling of financial products in one or more asset classes (credit derivatives, equity, foreign exchange, interest rates, and securitized products in developing or emerging markets)

* Understanding of, and a keen interest in, developments in finance and banking


Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success.