Senior Quant Analyst - IMM/Credit Risk Modelling (4689)

For a longer term project at our client's site, an international bank based in Zurich, we are looking for an experienced

SENIOR QUANT ANALYST - IMM/CREDIT RISK MODELLING (4689)

YOUR QUALIFICATIONS:

- EXPERIENCED QUANTIATIVE ANALYST WITH SOLID BANKING EXPERIENCE AND RECENT WORK IN MATHEMATICAL/STATISTICAL PROJECTS
- 2-5 YEARS OF RELEVANT WORK OR ACADEMIC EXPERIENCE IN CREDIT RISK MODELLING, IDEALLY IN CREDIT PORTFOLIO/ECONOMIC CAPITAL MODELLING OR COUNTERPARTY EXPOSURE MODELLING, ALTERNATIVELY AIRB OR PROVISIONING MODELS
- UNDERSTANDING OF IMM EXPOSURE METHODOLOGIES, EG EE/EEPE/PFE EXPOSURE QUANTIFICATION METHODOLOGIES
- R PROGRAMMING SKILLS ARE A MUST-HAVE, MATLAB AND SIMILAR STATISTICAL LANGUAGES APPRECIATED
- SR 11-7 experience would be a bonus
- Capable of writing clear technical documents using mathematical & statistical methodologies as all risk models
- Ability to communicate logically and precisely, including writing rigorous and clear mathematical model documentation
- Fluent in English

YOUR RESPONSIBILITES:

- Supporting on the methodology development for the Credit Economic Risk Capital (ERC) model
- Work on data/statistical analysis, model design, prototype implementation, requirements capture, documentation, support on review process and support on governance
- Focus on collateral concentration risk framework/methodology which needs to be designed and incorporated into the existing Credit ERC model
- Prototype implementation/requirements capture in IT specifications as well as documentation
- Deal with a wide range of trading and banking book products/exposures, most importantly derivatives and SFT exposures

Are you ready for a new challenge and AVAILABLE IN DECEMBER IN ZURICH? We look forward to receiving your application in MS-Word on . For any questions, please contact us.