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Risk Modeller

Stamford Consultants AG

Posted on Jan 7, 2021 by Stamford Consultants AG

Zürich, Switzerland
Immediate Start
Annual Salary

On behalf of our client, an established financial institution, we are looking for a Risk Modeller based in Zurich, Switzerland. This is an exciting opportunity to work in a pro-active and solution-oriented environment for our global client.


Recovery and Resolution Planning project where credit stress loss for a very short projection horizon is required. The macro sensitive PDs (transition matrixes) from the existing credit stress testing models, which are mostly yearly models, need to be translated into short-term projections. This requires conceptual as well as empirical modelling work to develop such an adjustment/scaling with appropriate developmental evidence up to current standards and justification to pass Model Risk Management validation.

Key Responsibilities:

* Develop adjustment/scaling approach to leverage existing mostly yearly models for short-term projection horizon usage (down to few business days)

* Provide benchmarking of suggested approach against formal requirements and all other appropriate developmental evidence up to current and internal standards and justification to pass Model Risk Management validation

* Conduct consultation sessions with users (credit risk management) and other relevant stakeholders (eg enterprise risk management) to discuss and agree on the approach

* Work with the Scenario Credit Model teams in charge of the respective credit stress testing models to obtain the relevant inputs while keeping the impact/support requested from the team minimal

* Work closely with peer contractors developing similar approaches for other stress testing models used in the bank and ensure alignment.

* Work closely with the implementation team by clarifying early if envisaged approaches are feasible and provide details and specifications of final agreed approach to facilitate implementation

* For the final approach obtain sign-off from model owners and users, confirmation from the implementation team of appropriate clarifications and hand-over

* Either MRM confirmation of completion of the MRM submission for validation or obtaining a model waiver in case no full validation feasible.

Essential Skills:

  • A university degree in a quantitative discipline

  • Proficiency in coding in R

  • Experience in Credit Risk Modelling incl. stakeholder interaction, validation, implementation, documentation

  • Language: English

Must be eligible to work in Switzerland

TEKsystems, an Allegis Group company. Allegis Group AG, Basel, Switzerland. Registration No. CHE-101.865.121. TEKsystems is a company within the Allegis Group network of companies (collectively referred to as "Allegis Group"). Aerotek, Aston Carter, EASi, TEKsystems, Stamford Consultants and The Stamford Group are Allegis Group brands. If you apply, your personal data will be processed as described in the Allegis Group Online Privacy Notice available.

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Reference: 1053959345

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