Beschreibung
A global Swiss Bank is looking for a Risk Modeling & Analytics Specialist (f/m). The team is responsible for the independent validation of risk models, specifically market, treasury and consequential risk models, including economic capital and stress testing applications.Workload 100%
Workplace Zurich
Start Date 01.08.2016
End Date 31.12.2016
Reference Number 3674
Tasks
• Project-based independent model assessments in line with the banks model governance policy, supplementary documents, and the EPS instructions, notably.
• 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 (as appropriate).
• Model risk assessment, including model robustness analysis, identification of limitations, and their assessment.
• Documentation of the assessment to required standards.
• Interaction and discussion with stakeholders (model developer as well as senior model owner and model governance bodies).
Requirements
• 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.
• Experience in risk modelling or model validation.
• Good knowledge of statistical modeling software (e.g., Matlab, R, SAS, STATA).
• Fluent in English and German, written and spoken.
Soft Skills
• Co-operativeness and team-orientation, while being able to motivate and organize yourself and complete tasks independently to high quality standards.
• Very good communication skills and the ability to explain technical topics clearly and intuitively, both written and orally.
Eylem Polat
Junior Business Consultant