Risk Modelling Specialist - Monte Carlo / Credit Risk

Expiring today

Canton of Zürich (CH)
upon request
24 Sep 2020
24 Oct 2020
Contract Type
Contract, Temporary
Full Time

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.

Apply for Risk Modelling Specialist - Monte Carlo / Credit Risk

Already uploaded your CV? Sign in to apply instantly


Upload from your computer

Or import from cloud storage

Your CV must be a .doc, .pdf, .docx, .rtf, and no bigger than 1MB

Upload from your computer

Or import from cloud storage

Your Supporting Document (optional) must be a .doc, .pdf, .docx, .txt, .rtf, and no bigger than 1MB

4000 characters left

Marketing Communication

We'd love to send you information about Jobs and Services from CareersinAudit.com by email.

All emails will contain a link in the footer to enable you to unsubscribe at any time.

When you apply for a job we will send your application to the named recruiter, who may contact you. By applying for a job listed on CareersinAudit.com you agree to our terms and conditions and privacy policy. You should never be required to provide bank account details. If you are, please email us.

Similar jobs

Similar jobs