Beschreibung
Quantitative Analyst Job - Credit Portfolio Modelling - Zürich, Switzerland
Quantitative Analyst, R, Matlab, Credit Risk Modelling, Incremental Risk Charge, Comprehensive Risk Measure
Our client, a tier one bank in Zurich, is looking for a Quantitative Analyst to support the Credit Analytics team with a focus on credit portfolio modelling. The ideal candidate brings experience as a quantitative analyst within the banking sector and ideally within the credit risk methodology domain. You will be developing credit risk models used for risk management and capital calculation across all divisions, including credit Economic Risk Capital (ERC) model, credit counterparty model, and parameter calibration models for the AIRB calculation.
The specific focus of this role will be on the collateral concentration risk methodology, which needs to be designed and incorporated into the existing Credit ERC model, including prototype implementation and requirements capture in IT specifications as well as documentation.
For this Quantitative Analyst contract job, hands on modelling experience is a must. Programming expertise with R and related languages is necessary. An advanced degree (MSc or PhD) in a quantitative field (mathematics, physics or engineering), is required, ideally with a strong curriculum in statistics, econometrics, quantitative finance or a similar field. Candidates must be eligible to work in Switzerland.
For more information on this Quant Analyst job in Zürich Switzerland, please send your CV to Brett Irwin at (see below). Please note that while we are grateful for all job applications, only the most suitable will be contacted. Thank you very much for your interest.