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Risk Modelling Specialist - R/Python (6586)

Posted on Oct 5, 2019 by iET SA

Zürich, Switzerland
IT
Immediate Start
Annual Salary
Contract/Project

For a project at our client's site, an international bank based in Zurich, we are looking for an experienced

Risk Modelling Specialist - R/Python

In this role you will be working within the team of model risk management on the validation of models related to the calculation of counterparty exposure under stressed market conditions.

Your Qualifications:
  • 3+ years' experience in model validation or risk modelling of counterparty credit exposure with strong quantitative analytic and modelling skills
  • Proven project management skills, taking end-to-end responsibility regarding quality and deadlines as well as timely escalating of issues
  • Good programming (coding) skills and experience utilizing programming languages such as R or Python
  • High standards when it comes to report writing in a structured way
  • Strong communication skills and the ability to explain technical topics clearly and intuitively
  • A team player with strong interpersonal skills
  • Fluent in English
Your Responsibilities:
  • Assess the model's conceptual soundness and methodology
  • Check appropriateness of assumptions, parameters, model calibrations, qualitative or expert adjustments, etc.
  • Review outcome, impact, or benchmark analyses and develop a benchmark model (as appropriate)
  • Assess model risk, including model robustness analysis, identification of limitations, and their assessment
  • Document the assessment to the required standards
  • Collaborate with model developers and communicate with key stakeholders across the institution

Off to new destinations! Apply now directly or contact our team.

Reference: 767204520

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