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Credit Suisse Sen. Risk Modeler #139367 in Hong Kong, Hong Kong

  • As part of the Trading Book Model Validation team within Model Risk Management you will gain training and exposure to modelling in areas such as equity derivatives and equity-hybrids (EQ-FX, EQ-Rates). The current heightened regulatory and governance framework guarantees a significant level of responsibility and visibility to the business and senior management. The range of equity derivatives and equity hybrids projects covered offers the chance for team members to gain deep knowledge of products as well as models used in pricing, risk management and capital calculations.

  • You will validate Front-Office pricing models and market risk models for Equity Derivatives and Equity Hybrids.

  • You will be testing model design including model limitations and assumptions, ensuring effective challenge to Front-Office and reporting of identified issues.

  • Independent model development, building up our modeling framework and Model Validation library.

  • You will be reviewing new products: conducting analysis for Pre-Trade Approvals.

  • You would be liaising and collaborating with business partners across Front-Office quants and Trading, Market Risk and Product Control.

  • You will be conducting research alternative benchmark models and methodologies to estimate model risks.

  • You have a deep understanding of derivatives pricing models, stochastic calculus, financial modelling, statistics and econometrics.

  • You hold a first degree and Masters in a quantitative discipline, e.g. Mathematics, Physics, Engineering, Finance, and probably a PhD.

  • You have experience with a relevant programming language: Python, C#, F# or R.

  • Ideally you have a proven record of working with Model Validation, Quantitative Analysis or Quantitative Risk Management.

  • You have excellent collaborator skills along with good interpersonal skills, computational and strong communication skills.

Job: *Quantitative Analysis

Title: Sen. Risk Modeler #139367

Location: Hong Kong-Hong Kong-Hong Kong

Requisition ID: 139367