Quantitative Analyst - Market/Liquidity Risk

Vertragsart:
Vor Ort
Start:
ASAP
Dauer:
9 months
Von:
Nicoll Curtin Technology
Ort:
Zürich
Eingestellt:
30.05.2015
Land:
flag_no Schweiz
Projekt-ID:
914452

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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