quantitative analyst in Oerlikon

posted
contact
Dominik Udovicic, Zürich Professionals IT
job type
contract
apply now

job details

posted
location
oerlikon, zurich
sector
banking
job type
contract
reference number
10018
contact
dominik udovicic, zürich professionals it
phone
058 201 56 60
apply now

job description

Quantitative Analyst
 

Currently we are looking for a Quantitative Analyst for one of our client which is a well known international bank. You would be responsible for developing models to calculate credit exposure metrics (PE and EPE) for counterparty credit risk.

Key responsibilties

  • Gap analysis between IB model and PB methodology
  • Analysis of the fall back method
  • Impact assessment between new and old model
  • Data managements
  • Pre deal inquiry methodology improvements

Challenges Contractor will be facing in this role:

  • To get to know a complex credit exposure model covering several assets classes (IR, FX, equity, credit) (the IB team will assist on this)
  • Combine PB and IB methodology (specifically the fallback method)
  • Conduct impact analysis down to RWA level
  • Discuss impact analysis with management, business and credit officers
  • Handle the different mentality and expectation of various stakeholders

Qualifications

  • Quantitative Background
  • Solid understanding of financial markets, credit business, regulations, derivative products and risk modelling
  • Programming (R, VBA)
  • People oriented working style
  • Proactive and self-managing working style
  • Fluency in English as well as good communication skills

If your profile fits to the requirements above we are looking forward to receive your application.