Liquidity and Funding Modelling Specialist (5393)

Vertragsart:
Vor Ort
Start:
ab sofort
Dauer:
6 Monate
Ort:
Zürich
Eingestellt:
16.05.2018
Land:
flag_no Schweiz

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

Liquidity and Funding Modelling Specialist (5393)

The successful and quantitative strong candidate will work in the bank's liquidity funding modeling team responsible for modeling all liquidity models (external and internal stress models). The ideal candidate will first have to gather the data that is already in the bank and analyze it. Second, the consultant we are looking for will have to justify why the bank is making certain assumptions of haircuts under stress.

Your Qualifications:

• Several years of experience with liquidity and funding risk models
• Experience with haircut securities financing transaction - knows literature how can they quantitate / verify stressed haircut
• Experience in how to model them and if there a smart way to justify why they model haircuts in a certain way. If experience in this field that would be the ideal candidate
• Strong quant skills - SQL queries, analys data in Excel, SFT trades and experience in haircuts for concerns and stress situations
• Experience in investment banking / investment-banking products plus Repo is a must have
• The ability to apply quantitative techniques to solve practical problems
• Fluent in English

Your Responsibilities:

• Develop models conceptually and identify data sources to support modelling/parameter choices empirically
• Use several analytical tools, databases for supporting modelling assumptions
• Document the model in line with the required standard

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