Quantitative Analyst - Banking - Project based

Zürich  ‐ Onsite
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Keywords

Description

THE ROLE:
  • A challenging role in the Model Risk Management team in Zürich, focused on independent validation of regulatory risk models with respect to business and regulatory needs for use in the Private Banking and Investment Banking divisions
  • Responsibility for investigating key aspects of each model under review: choice of modelling approach, the underlying assumptions and associated limitations, its performance and optimal use of the model
  • Independently developing alternative models for comparison
  • Responsibility for the authoring and presentation of validation reports for the attention of senior management, supervisory authorities, and model developers
  • Management of validation projects
  • Ongoing assessment of changing regulatory requirements
  • Contribution to the firm-wide management and monitoring of model risk
  • Interaction and collaboration with supervisory authorities as well as various internal business areas such as model developers, risk managers etc.
  • Work in a global, dynamic and motivated team
  • A PhD or a Master's degree in a quantitative discipline, i.e. mathematics, econometrics, finance, physics or engineering
  • Strong mathematical / statistical background is essential
  • Hands-on practical experience in risk modelling, real-world time series analysis and general understanding of global regulatory requirements is desirable
  • Excellent verbal and written communication skills with fluency in English and German
  • Self-motivation, discipline, task focus, ability to structure and present work and proven record of delivering high quality results to strict deadlines
  • Good knowledge including programming experience of software applications such as R, Matlab, SQL and SAS
THE CANDIDATE:
Start date
09/2014
Duration
6 Months
From
Huxley Associates
Published at
09.09.2014
Project ID:
772280
Contract type
Freelance
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