Quantitative Analyst

Vertragsart:
Vor Ort
Start:
keine Angabe
Dauer:
6 months +
Von:
Huxley Banking & Financial Services
Ort:
Zürich
Eingestellt:
30.09.2014
Land:
flag_no Schweiz
Projekt-ID:
783096

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My client, a global investment bank, is urgently seeking a quantitative analyst.

Main Responsibilities:

- Contribute to methodology and implementation of Incremental Risk Charge (IRC) methodology to extend this to an additional jurisdiction, aiming to this implemented by summer 2015.

- Research and develop methodology and implementation algorithms.

- Prototype development.

- IT specification and coordination for implementation.

Relevant Experience:

- PhD or Master's degree in a quantitative subject, ideally with a strong curriculum in statistics/
econometrics, quantitative finance or similar.

- Solid understanding of risk modelling in credit risk and/or financial markets in general.

- Work experience in credit risk modelling, ideally in Incremental Risk Charge or credit portfolio methodology.

- Understanding of the Basel II Accord and the background to the IRC requirement.

- Ability to communicate logically and precisely, including writing rigorous and clear model documentation.

If you are interested in the role please submit your CV as soon as possible.