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Risk Modelling Specialist - Monte Carlo / Credit Risk

Recruiter
iET Recruitment
Location
Canton of Zürich (CH)
Salary
upon request
Closing date
24 Oct 2020
Reference
7144

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Job Details

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.

Your Qualifications:

  • 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

Your Responsibilities:

  • 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.

Company

We are a recruitment agency based in Zurich, Switzerland. We are looking for profiles in business and IT.

We understand the challenges contractors face so the iET business culture is based on an ongoing dialogue and we live cooperation daily. Our contractors have the talent to constantly enhance and refine their professional skill-set to take part and keep up with current developments. As their counterpart, we aim to provide a degree of planning reliability by accompanying our consultants over multiple projects.

Our partners can rely on our expertise in personnel administration so they can fully focus on their ventures. We ensure that salaries and social security contributions are paid on time. We deal with public authorities and social security institutions daily. In that way, we create planning security which is important for a long-term relationship. iET also supports its partners in recruiting permanent employees.

We are more than just another staffing agency. iET SA seeks to engage its employees and consultants alike. It is a place where a professional mind-set is paired with creativity, innovation and humor.

Company info
Location
Zürich
CH

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