Risk Modeling and Analytics Specialist

For our client in Zurich, we are looking for aRisk Model and Analytics Specialist

with 1-3 years of experience in the Banking Industry for a 4 months' assignment.

Does modelling excite you? Are you an innovative thinker? Are you engaged and motivated personality to support independent validation for models used to calculated expected life time credit losses as required by the new IFRS9 accounting standards?

- carry out project-based independent model assessments in line with the bank's 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)

YOUR TEAM

You'll be working in the Model Risk Management & Control team in Zürich. Our team is responsible for the independent validation of risk models, specifically credit and issuer risk models, including economic capital and stress testing applications.

YOU HAVE:

- 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

YOU ARE:

- 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

If you are interested in this opportunity, please submit your application.