Beschreibung
For a nine months project at our banking client in Zurich we are looking for an experienced Senior Quant Analyst - Market and Liquidity Risk Management (2854)
Market and Liquidity Risk Management (MLRM) is looking for a Quantitative Analyst to support the Risk Methodology team in Zurich.
The team is located in London, New York and Mumbai and is part of the Quantitative Analysis group which is responsible for developing the methodology for most of the components of the bank's market and liquidity models and is accountable for:
- creating a model which captures all risks across CS businesses
- making sure that the model adheres to internal and external expectations
- implementing the model in IT systems
- describing and documenting the model following internal and external standards
- establishing policies and processes covering risks attached to the model
This role will be primarily responsible for assisting MLRM in quantitative analysis and reviewing market and liquidity risk models with respect to the Swiss legal entity programme.
Important tasks include:
- 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
The successful candidate will have the opportunity to:
- 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
Requisites:
- 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
- Willingness to question and challenge the status quo and ability to provide alternative approaches
Are you interested in this project assignment and can you start no later than 1st July? We look forward to receiving your CV.