Beschreibung
Senior Quant Analyst - Market and Liquidity Risk Management?
We are currently looking for an experienced Quantitative Analyst to support our client`s Risk Methodology team in Zurich. The team is located in London, New York and Mumbai and is part of their Quantitative Analysis group which is responsible for developing the methodology for most of the components of the bank's market and liquidity models.
Main Tasks & Responsibilities:
- Reviewing requirements for Economic Capital and supporting global Market Risk Methodology team in implementing them
- Reviewing models used within Liquidity Risk
- Identify gaps in risk factor coverage and quantify missing risk factors
- 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 Skills & Experience:
- At least 3+ years experience in quantitative market risk measurement within an investment bank or other financial institution; previous VaR or Economic Capital experience is required
- The candidate should have a first degree in mathematics, physics, econometrics, statistics or engineering
- A higher degree in one of those areas or in finance or a professional qualification eg CFA, FRM, PRIMA would be an advantage
- 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
Start: ASAP
Duration: 9MM++
Location: Zurich, Switzerland
Please send us your CV as a Word Document and a daytime contact telephone number.
Due to work permit restrictions we can unfortunately only consider applications from EU or Swiss citizens as well as current work-permit holders for Switzerland.