Beschreibung
For a project at our banking client site in Zurich, we are looking for an experienced
Expert for Statistical Model Development (2978)
Within the teams Statistical Risk Aggregation Methodology (SRAM) and Stress Methodology, they develop, refine, and implement statistical and stress models to measure all material risks our client is exposed to.
This comprises models for individual risk types (including market, credit, issuer, investment, funding, operational, pension and business risk), as well as methodologies to aggregate risks.
Our clients methodologies are used to provide an update on the aggregate risk profile of our client on a monthly basis, which will be summarized in the firm-wide Earnings-at-Risk, Capital-at-Risk, Risk-Based-Capital and Combined Stress Testing risk metrics. These metrics, from a central part of the monthly Group Risk Report, are reviewed by senior management within our client (Group Executive Board and Board of Directors) as well as the bank's supervisors. In addition, the results of our models are used in internal capital allocation decisions and risk-adjusted performance measurement as well as for business planning. Stress Testing is used additionally to set Divisional and Group-wide triggers for risk utilization. We work closely together with Group Finance, Group Treasury and the Business Divisions.
For the development of our methodologies, we use techniques from quantitative risk management, financial mathematics and econometrics. Models are implemented in R or Matlab, before being Embedded into the productive risk infrastructure.
Typical tasks in this area are:
- Develop and implement new methodologies for the measurement of various risk types (Credit, Market, Operational, Funding, )
- Perform regular re-calibration and confirmation of statistical and stress models
- Prepare impact analysis for various regulators (FINMA, FED, PRA, EBA) and senior management
- Contribute to strategic transformation projects in Group Risk Methodology
- Prepare ad-hoc analysis and present findings to senior management
SRAM and Stress Methodology are part of Group Risk Methodology at our client and offer you an international and multi-cultural environment.
Your qualification:
- Master's or PhD degree in an applied quantitative discipline (eg Econometrics, Statistics, Financial Engineering)
- Sound knowledge of statistical and econometric methods and their application
- Proficiency in use of statistical software (eg SAS, R, Stata, Matlab )
- Experience with handling large datasets
- Good general understanding and interest in (macro-) economic mechanisms and their influence on financial markets
- Some experience in statistical modelling or stress testing or other areas of risk methodology preferred
- Good conceptual and analytical abilities
- Very good interpersonal and communication skills
- Ability to deliver high quality results to set deadlines
- IT flair and programming knowledge
Are you ready for a new challenge? We look forward to receiving your application in MS-Word.