Risk Modelling Specialist - Monte Carlo / Credit Risk
For a project at our client ‘s site, an international bank based in Zurich, we are looking for an experienced
Risk Modelling Specialist - Monte Carlo / Credit Risk (7144)
Please be aware that this is a role within a sensitive environment. You'll have to undergo a background screening, which takes some additional time.
In this role you will be collaborating with IT and connecting core mathematical methodology and business analysis with driving IT efficiency, process design and infrastructure aspects.
- Sound knowledge in at least one of the following topics: Statistical analysis, Monte Carlo simulations, derivative pricing / modeling, risk modeling, machine learning
- Master or PhD degree in a quantitative discipline (e.g. physics, mathematics, engineering, or computer science)
- Working knowledge of at least one programming language of C/C#/C++/Python/R/Java is a must, VBA, SQL, and Office package is highly recommended
- Knowledge of QuantStrats area and code
- Excellent communication and presentation skills as well as strong teamplayer skills
- Knowhow in exchange traded derivatives business would be desired
- Fluent in English
- Development, prototyping, and implementation of methodologies for back testing of Monte Carlo counterparty credit risk models
- Counterparty credit exposure calculations according to Basel 3 / CRD4
- Development of capital relevant risk methodologies in the derivatives area for FINMA, PRA, and SEC
- Possibility to support IT in the strategic implementation of complex risk and simulation systems
- Close collaboration with several internal stakeholders around the globe (front office quants, financial accounting, CVA desk and other risk departments)
Off to new destinations! Apply now directly or contact our team.
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