Posted on Jan 7, 2021 by Stamford Consultants AG
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.
* 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.
- 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
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