Quantitative Analyst - Credit Exposure Model Roll-Out (4821)

Vertragsart:
Vor Ort
Start:
12.2017
Dauer:
12 Monate
Ort:
Zürich
Eingestellt:
16.10.2017
Land:
flag_no Schweiz
Projekt-ID:
1434666

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For a long-term project at our client‘s site, an international bank based in Zurich, we are looking for an experienced

Quantitative Analyst - Credit Exposure Model Roll-Out (4821)

A new Credit Exposure Model platform will be rolled out to the uncollateralized private bankingbusiness. The successful candidate will accompany this role out from the model methodology side.

Your Qualification:

- Experienced in similar position with strong Quantitative Background
- Solid understanding of financial markets, credit business, regulations, derivative products and risk modelling
- Good programming skills in R and VBA
- Experience in credit exposure calculation for derivative is desired
- People oriented, proactive and self-managing working style
- Fluency in English as well as good communication skills

Your Responsibilities:

- Gap analysis between IB model and PB methodology
- Analysis of the fall back method
- Impact assessment between new and old model
- Data managements
- Pre deal inquiry methodology improvements
- Conduct impact analysis down to RWA level
- Discuss impact analysis with management, business and credit officers

Are you ready for a new challenge and available immediately in Zurich? We look forward to receiving your application in MS-Word on For any questions, please contact us: