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Credit Risk Modeler/Project Manager

Experis AG

Posted on Jan 9, 2021 by Experis AG

Zürich, Switzerland
Accountancy
Immediate Start
Annual Salary
Contract/Project


Credit Risk Modeler/Project Manager


Experis is the global leader in professional resourcing and project-based workforce solutions. Our suite of services range from interim and permanent recruitment to managed services and consulting, enabling businesses to achieve their goals. We accelerate organisational growth by attracting, assessing and placing specialised professional talent.


On behalf of our client, a leading financial institution in Zürich, we are looking for a Project Manager with proven risk modelling and quants experience.


Overview of the project:


  • 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.

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 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


Skills:



  • Proven Project management or business analysis skills with a distinct ability to clarify requirements

  • A university degree in a quantitative discipline

  • Proficiency in coding (esp. R)

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


Interested in this opportunity? Kindly send us your CV today through the link in the advert. However should you have any questions please contact Sophia Biafora.






Reference: 1055338403

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