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Quantitative Strategies Structured Notes - Modeller (ASO -VP)

Job London, GB
Posted 20 Oct 2020

Degree level

Associate / Foundation

Job function

Strategy & planning

Required language

English (Fluent)

Work experience

2 to 5 years

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Credit Suisse is a leading global wealth manager with strong investment banking capabilities. Headquartered in Zurich, Switzerland, we have a global reach with operations in about 50 countries and employ more than 45,000 people from over 150 different nations. Embodying entrepreneurial spirit, Credit Suisse delivers holistic financial solutions to our clients, including innovative products and specially tailored advice. Striving for quality and excellence in our work, we recognize and reward extraordinary performance among our employees, provide wide-ranging training and development opportunities, and benefit from a diverse range of perspectives to create value for our clients, shareholders and communities. We are Credit Suisse.

We Offer

 The Risk Division is a highly visible, dynamic area of the firm where you can be an integral part of the decision making that supports the bank’s business. Our responsibilities range from Enterprise Risk management to risk and finance reporting, and regional risk teams covering the risk management for our entities. The Risk division's long-term success depends on our ability to achieve our vision and fulfil our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and encourages leadership at all levels.

The Quantitative Strategies Group at Credit Suisse is a modelling, analytics and trading risk group, whose mandate is to work as an integrated part of the trading teams to develop quantitative and technological solutions to solve complex business problems. The group develops and maintains a variety of quantitative analytics, including: pricing models; risk analytics; trader tools for risk management, hedging, and relative value; tools and techniques to optimize trading decisions across portfolio risks and capital. The group is organized along business divisions and sits with the trading groups.

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.

Responsibilities:

The Quantitative Strategies group is looking for a modeller to work within the Structured Notes team. Key responsibilities include:

  • Model development for pricing and risk management for the Structured Notes business within the Global Markets division, using a variety of mathematical techniques (e.g., stochastic calculus, statistical and probabilistic methods, derivatives pricing), numerical methods (e.g., Monte Carlo, PDE) and programming languages (e.g., C++, F#, Python).
  • Quantitative support for a number of trading desks issuing structured notes across different asset classes, the XVA desk and treasury.
  • Building quantitative tools for trading, structuring and sales.

You Offer

Prior experience with the Structured Notes / Credit or Rates business (preferred).

Strong quantitative modelling skills, especially curve building and risk.

Strong implementation skills preferably in C++, F#, Python.

Exposure to and knowledge of financial markets.

Results-oriented individual with the ability to work both independently and as part of a team.

Outstanding written and verbal communication and presentation skills, both in terms of clarity and conciseness.

Advanced technical degree (Mathematics, Physics, Engineering, Computing, etc) or equivalent work experience.

Understands the value of diversity in the workplace and is dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work. This should be further elaborated on in your application.

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Credit Suisse is a global financial services company providing Private Banking & Wealth Management services, and Investment Banking services and expertise, to companies, institutions and high-net-worth clients.

Finance & banking
London
50,000 employees