Beschreibung
Quantitative Analyst - Market/Liquidity Risk
A Market/Liquidity Risk Quantitative Analyst with economic capital modelling experience is required for a 9 month initial contract with a large financial client in Zurich.
You will support a global team on a firm-wide project. You will primarily be responsible for assisting in quantitative analysis and reviewing market and liquidity risk models with respect to the Swiss legal entity programme.
Tasks will include:
- Reviewing requirements for Economic Capital and supporting global Market Risk Methodology team in implementing them
- Reviewing models used within Liquidity Risk
- Identifying gaps in risk factor coverage and quantify missing risk factors
Responsibilities:
- Understand how market and liquidity risk models are used in a leading financial institution
- Proactively seek solutions to improve material parts of the model; review and improve components; identify the relevant sources of risk and assess their capture
- Research alternative methodologies, and compare them; justify and test the chosen option
- Ensure that models are adequately documented for both internal and external (eg regulatory) purposes
- Collaborate with IT analysts and developers to implement changes to the model
- Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications
Required Experience:
- At least 3+ years experience in quantitative market risk measurement within a financial institution; previous VaR or Economic Capital experience is required
- You should have a first degree in a quantitative field
- General knowledge of risk issues and regulatory requirements, together with liquidity, treasury and funding know-how and experience in model validation is highly valued
- Candidates are required to have strong written and verbal communication skills
- Some programming skills would also be desirable
- Ability to work well in a team and building relationships
- Ability to produce high quality, accurate work, under pressure and to tight deadlines
- Willingness to question and challenge the status quo and ability to provide alternative approaches