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R, Matlab - Quantitative Risk Developer

Eingestellt von Nicoll Curtin Technology

Gesuchte Skills: Matlab, Engineering

Projektbeschreibung

R, MATLAB - QUANTITATIVE RISK DEVELOPER

A Quantitative Developer is required for a 6 month initial contract with a leading financial services company. This position will cover the firmwide risk exposure across a range of risk components.

You will develop, refine, and implement statistical and stress models to measure all material risks the bank is exposed to. This comprises models for individual risk types (including market, credit, issuer, investment, funding, operational, pension and business risk), as well as methodologies to aggregate risks.

For the development of methodologies, you will use techniques from quantitative risk management, financial mathematics and econometrics. Models are implemented in R or Matlab, before being Embedded into the productive risk infrastructure.

Typical tasks involve:

- Develop and implement new methodologies for the measurement of various risk types (Credit, Market, Operational, Funding )
- Perform regular re-calibration and confirmation of statistical and stress models
- Prepare impact analysis for various regulators (FINMA, FED, PRA, EBA) and senior management
- Contribute to strategic transformation projects in Group Risk Methodology
- Prepare ad-hoc analysis and present findings to senior management

Requirements:

- Master's or PhD degree in an applied quantitative discipline (eg Econometrics, Statistics, Financial Engineering)
- Sound knowledge of statistical and econometric methods and their application
- Proficiency in use of statistical software (eg SAS, R, Stata, Matlab )
- Experience with handling large datasets
- Good general understanding and interest in (macro-) economic mechanisms and their influence on financial markets
- Some experience in statistical modelling or stress testing or other areas of risk methodology preferred
- Good conceptual and analytical abilities
- Very good interpersonal and communication skills
- Ability to deliver high quality results to set deadlines
- IT flair and programming knowledge

Projektdetails

  • Einsatzort:

    Zürich, Schweiz

  • Projektbeginn:

    asap

  • Projektdauer:

    6 months

  • Vertragsart:

    Contract

  • Berufserfahrung:

    Keine Angabe

Geforderte Qualifikationen

Nicoll Curtin Technology