Risk Modelling Specialist - Financial Services
Risk Modelling Specialist - Financial Services
Experis is the global leader in professional resourcing and project-based workforce solutions.
Overview of contract
On behalf of our client, a leading financial institution in Zürich, we are looking for a Risk Modelling Specialist from a Financial Services background.
This is a 10 month contract based in Zurich
Main responsibilities
- Facilitate the scope extension of the existing models by including in the model scope the calculation of sensitivities (delta, gamma, vega) for ETD products. This includes preparation of the testing code in R or Python and preparation of the model documentation
- run, enhance, automate codes in R that are used to produce stress MtMs for the purpose of CRR2
Your skills:
- Prior working experience in the financial services industry, including exposure to derivative pricing models (preferably across a range of asset classes)
- A sound understanding of asset pricing and/or SFT, OTC and ETD transactions across all major asset classes
- Good IT skills (R, Python, SQL)
- Experience working with large data sets is beneficial
- MS or PhD degree a in a quantitative field such as Quantitative Finance, Statistics, Econometrics, Mathematics or Physics
- Strong analytical skills and the ability to apply techniques from numerical analysis, statistics and financial mathematics to solve practical problems
- Good communication skills with colleagues at all levels in the organization
If you are interested in this opportunity, we look forward to receiving your CV or if you have any questions, contact Jane Leese on +41 44 229 99 49
If you are interested in other opportunities that Experis are recruiting, please click on the link https://www.experis.ch/experis-zurich.
We can only consider Swiss nationals or professionals possessing a valid EU passport for this engagement.
