Risk Modeling & Analytics Specialist

For our banking client in Zürich we are currently looking Risk Modeling & Analytics Specialist:

START: 01.03.17
DURATION: 17 weeks
LOCATION: Zürich

The role would include:

- carry out project-based independent model assessments in line with the UBS model governance policy, supplementary documents, and the IFRS9 instructions, notably
- assess the model's conceptual soundness and methodology
- check appropriateness of assumptions, parameters, model calibrations, qualitative or expert adjustments, etc.
- review outcome, impact, or benchmark analyses and develop a benchmark model (as appropriate)
- assess model risk, including model robustness analysis, identification of limitations, and their assessment
- document the assessment to required standards
- interact and discuss with stakeholders (model developer as well as senior model owner and model governance bodies)

The ideal candidate must bring:

- a Master's or PhD degree in financial mathematics/engineering, statistics, or econometrics
- at least three years experience in risk modelling, model validation or related fields
- familiarity with accounting standards is a plus
- ability to apply quantitative techniques to solve practical problems, especially in the areas of expected loss calculation - very good communication skills and the ability to explain technical topics clearly and intuitively, both written and orally
- proficient in using statistical modelling software (eg, Matlab, R, SAS, STATA)
- co-operative and team-orientated, while being able to motivate and organize yourself and complete tasks independently to high quality standards
- fluent in English, oral and written

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