Credit Risk Model Developer
Vor 7 Tagen
coni + partner, established 1993, is a consultancy company with headquarters in Zurich and subsidiaries in Düsseldorf and Shanghai. We are specialised in custom-fit staffing in tune with the corporate culture by ensuring a perfect match of professional skills, references and personal as well as social skills of successful candidates.
Our client is a Swiss bank in Zurich. We are searching for a quantitative analyst (m, f, d) as a
Credit Risk Model Developer
TasksDeveloping quantitative tools and methods for risk measurement and monitoring of market and credit risk / Risk modelling of different asset classes and products with respect to market and credit risk / Development and backtesting of IRB credit risk models (e.g. LGD, PD) as well as market risk models for the trading desk (e.g. option pricing, Black-Scholes, valuation of options) / Querying and empirical analysis of large amount of financial data / Programming of prototypes, validation and further development of market risk models in the banking and trading book / Project management for introduction of risk models and implementation into IT landscape / Providing support for the automation of processes for periodic model reviews / Collaboration with specialist departments / Supporting the operational credit departments with regard to risk models and ensuring user acceptance / Point of contact for audit firms regarding risk models and methods / Supporting strategic initiatives of the department as well as various projects.
RequirementsUniversity studies or Ph.D. with a quantitative focus on Quantitative Finance, Mathematics, Physics or Statistics / Practical professional experience in a bank as a quantitative analyst or in a BigFour company in the area of audit support or at FINMA / Experience in the development of credit risk (e.g. LGD, PD in the IRB context) or market risk models (for IB, trading desks, option pricing, etc.) / Professional development as a modeler and programming skills in e.g. Matlab, Python, R SQL, VBA, LaTeX (macros), Git etc. / Excellent MS-Office know-how / Excellent analytical as well as problem-solving skills / Flexibility / Ability to work under pressure / A winning personality with the ability to explain of complex topics for non-mathematicians / Conceptual and communication skills / Fluency in German and English.
Please apply by e-mail to com. Mr. Ivano Coni is responsible for this placement.
coni executive consulting (deutschland) gmbh
Ivano Coni
Managing Director
Grünstraße 4-6
D-40212 Düsseldorf
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