Quantitative Risk Specialist

For our banking client we are currently looking for a

Quantitative Risk Specialist

Start date: ASAP
Duration: 6 months
Location: Zurich

Your tasks:

-develop and maintain methodologies for stress testing the bank, different legal entities around the globe (including regulatory stress exercises such as CCAR)
- use techniques from quantitative risk management, financial mathematics and econometrics to develop and improve models
- implement models in R, before being Embedded into the productive risk infrastructure
- prepare the documentation of the models and present impacts to senior management stakeholders across the bank

The ideal candidate shall bring:

- a Master's or PhD degree in applied QUANTITATIVE DISCIPLINE (eg MATHEMATICS, Econometrics, Statistics, Financial Engineering, Economics, Finance)
- EXPERIENCE IN STRESS TESTING OR OTHER AREAS OF RISK METHODOLOGY (CREDIT RISK)
- sound knowledge of statistical and econometric methods and their application
- PROFICIENT IN R (use of statistical software such as SAS is a plus)
- IT flair and PROGRAMMING AND MODELLING knowledge. EXPERIENCE IN WRITING CODE is essential
- strong analytical, conceptual and organizational skills with the ability to work to tight deadlines
- good general understanding and interest in (macro-) economic mechanisms and their influence on financial markets
- experience with handling large datasets is a plus
- able to apply techniques from numerical analysis, statistics and financial mathematics to solve practical problems
- a great communicator at all levels in the organization
- team-orientated, while able to complete tasks independently
- fluent in English, additional languages are welcome

Michael Bailey International is acting as an Employment Business in relation to this vacancy.