Quantitative Credit Risk Analyst

Vertragsart:
Vor Ort
Start:
ASAP
Dauer:
12 months
Von:
Experis AG
Ort:
Zürich
Eingestellt:
30.08.2017
Land:
flag_no Schweiz
Projekt-ID:
1407517

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Quantitative Credit Risk Analyst

Experis recognises you are more than just a CV, a job title or job description. We'll work with you to understand your unique talents, experience and interests to help propel you to your goals faster. Experis will leverage our extensive client network to help you accelerate your career and realise your potential to them.

On behalf of our client, one of the largest financial institutions, we are looking for a Quantitative Credit Risk Analyst. For this 12 month contract with renewal position based in Zürich, our client is looking for an English speaking candidate, who is available as of late November or December.

Business Area:

Supporting Credit Analytics which is responsible for the methodology and development of credit risk relevant 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.

Key responsibilities:

  • Supporting on the methodology development for the Credit Economic Risk Capital (ERC) model including work on eg data/statistical analysis, model design, prototype implementation, requirements capture in IT specification, documentation up to SR11-7 standards, support on review process by Model Risk Management, support on governance.
  • Specific focus of this role would be on the collateral concentration risk framework/methodology - which is a regulatory requirement - which needs to be designed and incorporated into the existing Credit ERC model, incl. prototype implementation/requirements capture in IT specifications as well as documentation.
  • Person would need to deal with a wide range of trading and banking book products/exposures, most importantly derivatives and SFT exposures.

Who I am looking for:

  • PhD or Master's degree in a quantitative subject (eg mathematics, physics or engineering), ideally with a strong curriculum in statistics/econometrics, quantitative finance or similar.
  • Solid understanding and hands-on experience of risk modelling in credit risk, credit business and/or financial markets in general.
  • 2-5 years of relevant work or academic experience in credit risk modelling, ideally in credit portfolio/economic capital modelling or counterparty exposure modelling, alternatively AIRB or provisioning models.
  • Programming experience, particularly in statistical languages such as R or similar.
  • Understanding of IMM exposure methodologies, eg EE/EEPE/PFE exposure qualification methodologists is desired
  • Ability to communicate logically and precisely, including writing rigorous and clear mathematical model documentation.

Are you interested in this opportunity? Kindly send us your CV today through the link in the advert. In case of any questions, please contact Doris Wen.

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