Quantitative Analyst - Credit / Market Risk (5280)

Vertragsart:
Vor Ort
Start:
ab sofort
Dauer:
6 Monate
Ort:
Zürich
Eingestellt:
06.04.2018
Land:
flag_no Schweiz
Projekt-ID:
1534029

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

Quantitative Analyst - Credit / Market Risk (5280)


In this role, you will be part of the team who develops models for securities lending values and derivatives margins as well as methods for risk control and monitoring on both portfolio and client level, such as stress testing, expected loss calculation, concentration and liquidity analyses.

Your Qualifications:

• Deep understanding and experience in statistical methods in risk modeling (regression- and portfolio models, Monte Carlo techniques)
• University degree in quantitative finance, math, statistics or other numerical discipline
• Strong coding skills in R, C++ or Java
• Some experience or strong interest in the financial services industry, preferably in risk management
• Excellent analytical, communications and presentation skills
• Fluent in English

Your Responsibilities:

• Bring innovation to the Risk Methodology Group in the development, refinement and implementation of risk models
• Develop statistical and stress testing models for credit / market risks using R, C++, Matlab and Java
• Research and document best practices when working on a new model, including understanding regulatory requirements and establishing a data model
• Collaborate with risk officers, business managers, Risk IT, Change Operations and other stakeholders supporting the proper implementation and execution of risk models
• Support regulatory exercises

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