Beschreibung
Quantitative Risk Modeling & Analytics Job - Finance, Zürich
Quant jobs, Finance, Banking, Risk, Analytics, Zürich, Schweiz, SAS, Matlab, Stata, SPSS
A risk modeller with quantitative background is required for an initial 12 month contract with a leading financial client in Zürich. You will be focused on the validation of CCAR models.
You will be working as part of a risk modelling team (quants, analysts, developers) in charge of the independent validation of market, consequantial & treasury risk models. This will include economic capital & stress testing.
You will be in charge of project-based independent model assessment, in line with the client's governance policies, supplementary documents, and the EPS/CCAR instructions:
- assessment of the model's conceptual soundness and methodology
- checking appropriateness of assumptions, parameters, model calibrations, qualitative or expert adjustments, etc.
- outcome, impact or benchmark analyses and developing a benchmark model if appropriate
- model risk assessment - including model robustness analysis, identification of limitations
- documentation of the assessment to required standards
- Interaction and discussion with stakeholders (model developers as well as senior model owners and model governance bodies)
Required expertise:
- Master's or PhD degree in financial mathematics/engineering, statistics, or econometrics
- Ability to apply quantitative techniques to solve practical problems, especially in the areas of economic capital or stress testing
- Experience in risk modelling or model validation
- Co-operativeness and team-orientation, while being able to motivate and organize yourself and complete tasks independently to high quality standards
- Good knowledge of statistical modelling software (eg, Matlab, R, SAS, STATA)
- Very good communication skills and the ability to explain technical topics clearly and intuitively, both written and orally
- Fluent English language skills
For more information on this Quantitative Risk Modelling & Analytics Specialist position, or to discuss other quant positions in Zürich, please contact Daniel Tudor (see below)