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German speaking Credit Risk Modeller - SQL, Excel VBA, R (7218)


Posted on Oct 29, 2020 by iET SA

Zürich, Switzerland
Immediate Start
Annual Salary

German speaking Credit Risk Modeller - SQL, Excel VBA, R

German speaking Credit Risk Modeller | Zurich | 6 months | rate upon request

For a project at our client's site, an international bank based in Zurich, we are looking for an experienced German speaking Credit Risk Modeller.

In this challenging role, you will be able to cover a key function within the global team of the bank which is responsible for client and transaction-oriented credit default risk models. You will get the great opportunity to develop, document, and calibrate credit risk models in line with Basel 2 & other regulatory requirements.

Please be aware that this is a role within a sensitive environment. You'll have to undergo an enhanced background screening, which takes some additional time! We, therefore, prefer local candidates.

Your Qualifications:
  • Several years' experience as Credit Risk Modeller in a banking environment
  • Educational background in quantitative topics, econometrics, mathematical finance or physics
  • Solid Programming know-how in SQL, Excel VBA as well as R

  • Experience in applied statistics such as regression analysis, reject inference, decision trees, cluster as well as time-series analysis
  • Well versed in developing and applying statistical models withanunderstanding of credit risk and respective banking products
  • Ability to create well-structured presentations and documentations
  • Independent way of working with an analytical and structured way of thinking
  • Fluent in German and English
Your Responsibilities:
  • Stakeholder management in order to commonly define and write down framework expectations
  • Source data and perform statistical analysis in line with formulated expectations to the framework
  • Prepare updated framework documentation that will be handed over to internal model risk management function
  • Reassess the current credit risk expected loss framework in place
  • Define the expectations to the framework and define and update risk measurement models and parameters in line with formulated expectations from stakeholders
  • Develop new credit risk PD models, managing the development through technical committees with key stakeholders
  • Validate performance of new models, document new models to required standards
  • Support and test the model implementations
  • Address modelling queries from user community, looking at specific customer ratings and their calculation
  • Enhance model management through automation and the development of new approaches

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

Reference: 987630538

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