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Risk Modelling & Analytics Specialist
Eingestellt von Michael Bailey Associates - Zurich
Gesuchte Skills: Engineering, Matlab, Client
Projektbeschreibung
For our banking client in Zürich we are currently looking for a Risk Modelling & Analytics Specialist:
START: ASAP
DURATION: 51 weeks
LOCATION: Zürich
Our team is responsible for the independent validation of risk models, specifically market, treasury and consequential risk models, including economic capital and stress testing applications. We are looking for an engaged and motivated personality to act as a Risk Modelling & Analytics Specialist in the validation of such models in the context of CCAR.
The role is for a period of up to 12 months and primarily involves:
. Project-based independent model assessments in line with the client model governance policy, supplementary documents, and the EPS/CCAR instructions, notably
- assessment of the model's conceptual soundness and methodology
- checking appropriateness of assumptions, parameters, model calibrations, qualitative or expert adjustments, etc.
- outcome, impact, or benchmark analyses and developing a benchmark model (as appropriate)
- model risk assessment, including model robustness analysis, identification of limitations, and their assessment
- documentation of the assessment to required standards
. Interaction and discussion with stakeholders (model developer as well as senior model owner and model governance bodies)
. Sharing modelling knowledge across the group
The requirements for the role are:
. Master's or PhD degree in financial mathematics/engineering, statistics, or econometrics
. Ability to apply quantitative techniques to solve practical problems, especially in the areas of economic capital or stress testing
. Experience in risk modelling or model validation
. Cooperativeness and team-orientation, while being able to motivate and organize yourself and complete tasks independently to high quality standards
. Good knowledge of statistical modelling software (eg, Matlab, R, SAS, STATA)
. Very good communication skills and the ability to explain technical topics clearly and intuitively, both written and orally
. Fluency in English, in oral and written form
Michael Bailey International is acting as an Employment Business in relation to this vacancy.
START: ASAP
DURATION: 51 weeks
LOCATION: Zürich
Our team is responsible for the independent validation of risk models, specifically market, treasury and consequential risk models, including economic capital and stress testing applications. We are looking for an engaged and motivated personality to act as a Risk Modelling & Analytics Specialist in the validation of such models in the context of CCAR.
The role is for a period of up to 12 months and primarily involves:
. Project-based independent model assessments in line with the client model governance policy, supplementary documents, and the EPS/CCAR instructions, notably
- assessment of the model's conceptual soundness and methodology
- checking appropriateness of assumptions, parameters, model calibrations, qualitative or expert adjustments, etc.
- outcome, impact, or benchmark analyses and developing a benchmark model (as appropriate)
- model risk assessment, including model robustness analysis, identification of limitations, and their assessment
- documentation of the assessment to required standards
. Interaction and discussion with stakeholders (model developer as well as senior model owner and model governance bodies)
. Sharing modelling knowledge across the group
The requirements for the role are:
. Master's or PhD degree in financial mathematics/engineering, statistics, or econometrics
. Ability to apply quantitative techniques to solve practical problems, especially in the areas of economic capital or stress testing
. Experience in risk modelling or model validation
. Cooperativeness and team-orientation, while being able to motivate and organize yourself and complete tasks independently to high quality standards
. Good knowledge of statistical modelling software (eg, Matlab, R, SAS, STATA)
. Very good communication skills and the ability to explain technical topics clearly and intuitively, both written and orally
. Fluency in English, in oral and written form
Michael Bailey International is acting as an Employment Business in relation to this vacancy.
Projektdetails
Geforderte Qualifikationen
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Kategorie:
IT Entwicklung, Ingenieurwesen/Technik