QRM experts in Treasury Risk Control (m/f) x2

Vertragsart:
Vor Ort
Start:
Mid November
Dauer:
3 months (possible extension)
Von:
BRINE SA
Ort:
CH
Eingestellt:
08.11.2012
Land:
flag_no Schweiz
Projekt-ID:
444801

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BRINE SA places the customer needs firmly in the centre and offers a speedy and professional solution. We carefully select suitable consultants and IT-specialists on the basis of their qualification. We pay particular attention to their education, business and technical knowledge, professional experience, individual character and not least, personal preferences

We are looking for an individual as QRM experts in Treasury Risk Control (m/f) x2

Task & Responsibilities:

  • Help Setting up/be responsible for setting up configuration settings in QRM such as Yield Curves, Moving Averages, Client Rate Functions and WM R&C Products, Configuration of Replication Portfolios, etc.
  • Unit-test the settings as per above
  • Provide first-hand advice (QRM specific) on how to best enter the required settings in QRM

Deliverables:

Key objectives for the first phase of the project where support is sought includes the implementation and configuration of a vendor software from QRM (Quantitative Risk Management);

Key deliverables of the project include

  • Risk Control of the Banking Book: Group-wide balance sheet simulation of sensitivity to changing market conditions, incl. Net Interest Income (NII), Net Interest Margin (NIM), Economic Value of Equity (EVE), Economic Value Sensitivity (EVS). [End 2013]
  • Strategic solution for the SNB Interest Rate Risk reporting in the Banking Book. [End
    2013 & Q2 2014]

Required Experience/Skills:

Must have:

  • Extensive experience in QRM implementation projects (preferably on Version 16; track record required)
  • Experienced in programming (eg VBA), be capable in abstract thinking,
  • Background in Risk Management and/or Asset and Liability Management in large banks,
  • Used to work in a concentrated manner
  • Good English language skills.

Project start:

  • Mid November

Duration:

  • 3 months (possible extension)

Place of work:

  • Zurich