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Risk Modelling Specialist - Financial Services

Experis AG

Posted on Feb 23, 2021 by Experis AG

Zürich, Switzerland
Immediate Start
Annual Salary

Risk Modelling Specialist - Financial Services

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.

This is a 10 month contract based in Zurich

Main responsibilities

  • Facilitate the scope extension of the existing models by including in the model scope the calculation of sensitivities (delta, gamma, vega) for ETD products. This includes preparation of the testing code in R or Python and preparation of the model documentation

  • run, enhance, automate codes in R that are used to produce stress MtMs for the purpose of CRR2

Your skills:

  • 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

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: 1105908701

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