Beschreibung
Our client is looking for a QRM expert to work in its Treasury Risk Control.
Your responsibilities include:
Helping to set up and being 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; unit-test the settings as per above; provide first-hand advice (QRM specific) on how to best enter the required settings in QRM.
The key objectives of the role are to support the first phase of the project when needed. This could 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]2) Strategic solution for the SNB Interest Rate Risk reporting in the Banking Book. [End 2013 & Q2 2014]
Required Experience/Skills:
Extensive experience in QRM implementation projects (preferably on Version 16; track record required);experienced in programming (eg VBA). You should have a background in Risk Management and/or Asset and Liability Management in large banks.
Good English language skills are essential.