QRM Expert in Treasury Risk Control

Vertragsart:
Vor Ort
Start:
ASAP
Dauer:
3 months
Von:
Harvey Nash IT Recruitment Switzerland
Ort:
CH
Eingestellt:
08.11.2012
Land:
flag_no Schweiz
Projekt-ID:
444820

Warning
Dieses Projekt ist archiviert und leider nicht (mehr) aktiv.
Sie finden vakante Projekte hier in unserer Projektbörse.

For our customer in the area of Zurich we are looking for QRM Experts in Treasury Risk Control

Tasks and 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).
  • Strategic solution for the SNB Interest Rate Risk reporting in the Banking Book.

Requirements

  • 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
  • Solid English language skills

Are you interested in this position? We are looking forward to receive your application.