Beschreibung
Stamford Consultants AG is a European recruitment specialist company with headquarters in Switzerland. Our international team recruits across Banking/Financial Services, Life Sciences & Information Technology professionals.
Our high level of service and responsiveness has earned us the distinction of being a preferred supplier of Contract, Permanent and Executive Search professionals for many of the world's most recognized and respected companies.
Our client, a top tier global bank based in Zurich, is looking for a highly competent Quant Analyst with extensive experience in the development of credit risk relevant models and a good understanding for Risk management and Capital calculation across all divisions to join a fast-paced, major project within a large regulatory initiative.
Are you a Quant Analyst with relevant background in Credit Risk Modelling and strong statistical programming experience and currently looking for your next project in an international environment?
If so, please have a look at the opportunity we offer you below:
Tasks
- Methodology development for the Credit Economic Risk Capital (ERC) model including work on 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 on the collateral concentration risk framework/methodology - needs to be designed and incorporated into the existing Credit ERC model
- Deal with a wide range of trading and banking book products/exposures, most importantly derivatives and SFT exposures
- Understanding concept of indirect exposures in the context of derivatives/SFTs/lending products etc. and incorporating those in a consistent way into a complex, existing credit portfolio model to be able to more comprehensively capture the risk of collateral concentrations - from a design and prototype implementation view
- A number of stakeholders are involved in the project whose requirements might need further detailing and additional staff will work on the topic offshore that need to be coordinated with
Ideal Profile
- At least 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
- Understanding of IMM exposure methodologies
- 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
- Excellent understanding of risk modelling in credit risk, credit business and/or financial markets in general
- Programming experience, particularly in statistical languages such as R or similar
- Ability to communicate logically and precisely, including writing rigorous and clear mathematical model documentation
- Excellent command of English; German would be an advantage
Are you interested in this opportunity and would like to have further details? Please get in touch with Laia Grao (see below)
(!) Please note that we can only consider EU/CH candidates or those with a valid work permit for Switzerland