Beschreibung
Does modelling excite you? Are you an innovative thinker?
Are you engaged and motivated personality to support independent validation for models used to calculated expected life time credit losses as required by the new IFRS9 accounting standards?
For a period of 4 months (March 2017 to June 2017) our client in the banking area in Zurich is looking for someone who can:
- Execute project-based independent model assessments in line with the company model governance policy, supplementary documents, and the IFRS9 instructions
- Estimate model risk, including model robustness analysis, identification of limitations, and their assessment
- Check appropriateness of assumptions, parameters, model calibrations, qualitative or expert adjustments
- Estimate the model's conceptual soundness and methodology
- Evaluate outcome, impact, or benchmark analyses and develop models
- Record the estimation to required standards
- Communicate with stakeholders
The team is responsible for the independent validation of risk models, specifically credit and issuer risk models, including economic capital and stress testing applications.
Your Profile
- Degree in Master's or PhD in financial mathematics/engineering, statistics, or econometrics
- Minimum three years experience in risk modelling, model validation or related fields
- Familiarity with accounting standards is a plus
- Ability to execute quantitative techniques to solve practical problems, especially in the areas of expected loss calculation
- Proficient in using statistical modelling software (eg, Matlab, R, SAS, STATA)
- Very good communication skills
- Able to be co-operative and to work in a team
- Fluent in English
If you match the above skills set and are interested in this position, I look forward to receiving your application.