Subject Matter Expert - Credit Risk modelling / Stress Testing (3808)

Zürich  ‐ Vor Ort
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Beschreibung

For a 6 months project at our banking clients' site in Zurich, we are looking for an experienced

Subject Matter Expert - Credit Risk modelling / Stress Testing (3808)

In this role you will be involved in developing and improving existing credit risk stress testing methodology for lending and counterparty exposures. You will work closely with the Credit Risk modelling team to understand and challenge the approaches developed by the team. This is the most challenging part of the role as there is a lot of scope for creativity and out of the box thinking to come up with innovative solutions.

Your Qualifications:
- 7-10 years’ experience of having worked in a credit risk function, focused on corporate and retail loans / Over the Counter derivatives / SFTs
- Excellent financial modeling skills with a strong quantitative background
- Good understanding of complex investment banking products / risks
- Solid understanding of credit stress testing methodology, especially for lending books and counterparty credit risk
- Successfully developed / enhanced credit stress testing methodology
- Capable of delivering results under strict deadlines
- Excellent verbal and written communication in English
- Degree in finance with quantitative background such as PhD would be preferred

Your Responsibilities:
- Coordinate and manage stress testing model inventory Book of Work for CRM
- Development of stress testing methodology which would enable execution of ad-hoc scenarios. This is also a critical CARMC / BOD requirement to enable ERM to respond to ad-hoc scenario requests in timely manner with sufficient degree of confidence
- Build out of challenge function, as committed to FINMA as part of C01 FWST initiative
- Presenting methodology developments along with impact analysis to senior management. The key stakeholders would be the regulator as well as Board and senior management
- The job entails working on stress testing methodology focused on credit risk. The results of stress testing would also feed into internal risk appetite / limit setting process and hence successful candidate would be expected to further integrate stress testing results with business decision making process
- Developing and improving existing credit risk stress testing methodology for lending and counterparty exposures
- Coming up with alternative challenger approaches to benchmark results driven by the primary models developed by Credit Risk modelling team

Are you ready for a new challenge and immediately available? We look forward to receiving your application in MS-Word on For further information please contact .
Start
08.2016
Dauer
6 Monate
Von
iET SA
Eingestellt
25.07.2016
Ansprechpartner:
Senior Recruiter
Projekt-ID:
1172963
Vertragsart
Freiberuflich
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