Beschreibung
For my large banking client based in Zurich, Switzerland we are looking for a:
Location: Zurich
Start: ASAP
Duration: 6 months (possible extensions)
Languages: English mandatory, German would be an advantage
Title (Senior) Quantitative Risk Specialist
Description:
Interested in calculated risks? Then join our client as
(Senior) Quantitative Risk Specialist
Develop, refine, and implement mathematical and statistical models to measure all material risks across our client. This comprises models for individual risk types (including market, credit, country, issuer, investment, funding, and business risk), as well as methodologies to aggregate risks.
Our client use their methodologies to provide an update on the aggregate risk profile of our client on a monthly basis, which we summarise in the firm-wide Earnings-at-Risk and Capital-at-Risk metrics. These metrics from a central part of the monthly Group Risk Report, and are reviewed by senior management at our client (Group Executive Board and Board of Directors) as well as the bank's supervisors. In addition, the results of our models are used in internal capital allocation decisions and risk-adjusted performance measurement. We work closely together with Group Finance, Group Treasury and the Business Divisions.
For the development of our methodologies, we use techniques from quantitative risk management, mathematical finance and econometrics. Models are implemented in various programming languages, before being Embedded into the productive risk infrastructure.
Our client team is part of Group Risk Methodology and offers you an international and multi-cultural environment.
Must have requirements:
* Master's, PhD or ETH degree in financial mathematics, statistics, engineering, econometrics, or other quantitative field.
* Ability to apply techniques from numerical analysis, statistics, and financial mathematics to solve practical problems
* Co-operative and team-oriented, while being able to complete tasks independently to a high standard.
* Not afraid to take new initiatives, and able to carry them through.
* Experience with high-level programming language (eg, C, Matlab, Mathematica, R), and knowledge of statistical modelling software (eg, SAS, S-PLUS)
* Excellent communication skills with colleagues at all levels in the organisation. Ability to explain technical topics clearly and intuitively, both written and orally.
* Prior practical experience in quantitative risk management and modelling would be beneficial
* Fluency in English, both in oral and written form.