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Risk Modeling & Analytics Specialist

Harvey Nash IT Recruitment Switzerland

Posted on Feb 4, 2021 by Harvey Nash IT Recruitment Switzerland

Zürich, Switzerland
Accountancy
Immediate Start
Annual Salary
Contract/Project



For our client, a Swiss Bank, we are looking for a Risk Modeling & Analytics Specialist for a 10 months project with possibility of extension in Zurich, Switzerland.


Role


Are you experienced in risk modelling, in particular in the area of Counterparty Credit Risk or derivatives pricing and asset pricing or you have relevant academic background in this area? Are you an innovative thinker that likes challenge and is able to deliver against tight timelines? Do you enjoy working with data and develop your own codes?


We're looking for someone like that to:


  • facilitate the LIBOR decommissioning program and the introduction of new products that are leveraging ARR as opposed to LIBOR for OTC and ETD derivatives for Stress Exposure models. This includes the review of BRDs and in case of identified impact on stress exposure models, collaboration with other teams to facilitate the implementation of the required changes in IT systems. If a change is classified as a non-material model change, this will cover the preparation of the submission package to the validation team

  • front to back review of existing Counterparty Credit Risk data and implementation landscape

  • develop testing codes

Expertise


  • Experience in non-directional risks modelling for SFT and Derivatives products in line with SR 11-10

  • Prior working experience in the financial services industry, including exposure to derivative pricing models (preferably across a range of asset classes)

  • A sound understanding of asset pricing and/or SFT, OTC and ETD transactions across all major asset classes

  • Good IT skills (R, Python, SQL)

  • Experience working with large data sets is beneficial

  • MS or PhD degree a in a quantitative field such as Quantitative Finance, Statistics, Econometrics, Mathematics or Physics

  • Strong analytical skills and the ability to apply techniques from numerical analysis, statistics and financial mathematics to solve practical problems

  • Good communication skills with colleagues at all levels in the organization

  • Fluent in English, both in oral and written form



Reference: 1082050258

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