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Support CCAR Model Development

Eingestellt von Michael Bailey Associates - Zurich

Gesuchte Skills: Matlab, Engineering, Support

Projektbeschreibung

For our banking client we are currently looking for Support for the CCAR Model Development:

Start: 20.07.2015

Duration: 6 months

Location: Zürich

Within the teams Statistical Risk Aggregation Methodology (SRAM) and Stress Methodology we 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 our methodologies, we 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 in this area are:

- 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

SRAM and Stress Methodology are part of Group Risk Methodology at UBS and offer you an international and multi-cultural environment.

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

Projektdetails

  • Einsatzort:

    Zürich, Schweiz

  • Projektbeginn:

    asap

  • Projektdauer:

    6 months

  • Vertragsart:

    Contract

  • Berufserfahrung:

    Keine Angabe

Geforderte Qualifikationen

Michael Bailey Associates - Zurich