Quantitative Risk Manager - IRRBB / QRM implementation (4530)

Vor Ort
6 Monate (Verlängerung möglich)
flag_no Schweiz

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For a project at our client‘s site, an international bank based in Zurich, we are looking for an experienced

Quantitative Risk Manager - IRRBB / QRM implementation (4530)

Your Qualifications:

-Previous experience in QRM implementation/configuration would be extremely beneficial
-Knowledge of core banking book products (loans, deposits and hedging instruments) and behavioural modelling (in particular for NMP deposits), IRRBB requirements and earnings at Risk
-Knowledge of ALM, replication and FTP concepts
-Knowledge of accounting, familiarity with market data and products valuation
-Understanding and management of inputs/requirements from other departments
-Experience in large banks, processes and IT landscape would be benefitial
-Fluent in English, German skills would be of advantage

Your Responsibilities:

-Understanding the requirements of the modellers, the target state modelling approach and the speed/accuracy trade-offs entailed by the repository management
-Positing an approach to product aggregation that provides an optimal tradeoff in terms of speed/accuracy
-Describing the agreed stratification approach in a comprehensive clear specification that can be used by implementers
-Defining Products, Accounts, Modelling, Market data and Scenarios and strategies
-Set up of full Balance Sheet, validation of position data , validation of baseline NII, validation of NII at Risk
-Set up of reports/data output as required by reporting workstream
-Go-live support

Are you ready for a new challenge and available immediately in Zurich? We look forward to receiving your application in MS-Word on For any questions, please contact us: