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Risk Modelling Specialist - Monte Carlo, Credit Risk, QuantStrats area

Posted on Sep 23, 2020 by iET SA

Zürich, Switzerland
Immediate Start
Annual Salary

Risk Modelling Specialist - Monte Carlo, Credit Risk, QuantStrats area, code

Zurich City I 6 months I upon request

For a project at our client's site, an international bank based in Zurich, we are looking for an experienced Risk Modelling Specialist.

Please be aware that this is a role within a sensitive environment. You'll have to undergo a background screening, which takes some additional time.

In this role you will be collaborating with IT and connecting core mathematical methodology and business analysis with driving IT efficiency, process design and infrastructure aspects.

Your Qualifications:
  • Sound knowledge in at least one of the following topics: Statistical analysis, Monte Carlo simulations, derivative pricing/modelling, risk modelling, machine learning

  • Master or PhD degree in a quantitative discipline (eg physics, mathematics, engineering, or computer science)

  • Working knowledge of at least one programming language of C/C#/C++/Python/R/Java is a must, VBA, SQL, and Office package is highly recommended
  • Knowledge of QuantStrats area and code
  • Excellent communication and presentation skills as well as strong teamplayer skills
  • Knowhow in exchange traded derivatives business would be desired
  • Fluent in English
Your Responsibilities:
  • Development, prototyping, and implementation of methodologies for back testing of Monte Carlo counterparty credit risk models
  • Counterparty credit exposure calculations according to Basel 3/CRD4
  • Development of capital relevant risk methodologies in the derivatives area for FINMA, PRA, and SEC
  • Possibility to support IT in the strategic implementation of complex risk and simulation systems
  • Close collaboration with several internal stakeholders around the globe (Front Office quants, financial accounting, CVA desk and other risk departments)

Off to new destinations! Apply now directly or contact our team by phone.

Reference: 955088712

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