This Job Vacancy has Expired!

Risk Modelling and Analytics

Experis AG

Posted on Feb 4, 2021 by Experis AG

Zürich, Switzerland
IT
Immediate Start
Annual Salary
Contract/Project



Risk Modelling - Derivative pricing


Experis is the global leader in professional resourcing and project-based workforce solutions.


Overview of contract


On behalf of our client, a leading financial institution in Zürich, we are looking for a Risk Modelling Specialist from a Financial Services background, with knowledge of Derivative Pricing models, to join an existing team to help develop non-directional risk modelling.


This is a 10 month contract based in Zurich


Main responsibilities



  • 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.

  • Review of BRDs and collaboration with other teams to facilitate the implementation of the required changes in IT systems.

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

  • Develop testing codes

  • Work closely with the Business Analysts and IT teams.


Your skills:



  • 3-6 years of 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

  • Fluent in English, both in oral and written form


If you are interested in this opportunity, we look forward to receiving your CV or if you have any questions, contact Jane Leese

We can only consider Swiss nationals or professionals possessing a valid EU passport for this engagement.




Reference: 1082992862

Set up alerts to get notified of new vacancies.