Model Expert for Interest Rate Risk in the Banking Book (IRRBB) Models
- You a challenging model expert role in our IRRBB modelling team where you can contribute to the development and maintenance of quantitative models. The team owns quantitative models in the context of the measurement of interest rate risks in the banking book. In particular, the team is responsible for models describing the expected behaviour of certain client deposit types
- You have a variety of responsibilities in the design and maintenance of quantitative models including analyses, implementation of algorithms, and documentation and presentation of results
- You work with the risk management system QRM to conduct and analyse simulations
- You have the possibility to share your expertise and ideas in IRRBB related projects and working groups
- You have the opportunity to become a subject matter expert in IRRBB and behavioural modelling by joining a team of highly qualified experts
- You get engaged in an area of high regulatory and management attention
- You have the chance to gain insights into banking book products such as loans and deposits, constituting core elements of the banking business, and the management of such positions
- You work in close cooperation with colleagues across departments and regions
- You have interesting career development opportunities
- A quantitative background and real passion for promoting impactful solutions as well as good team player skills in an international environment, in particular:
- You hold a university degree in a quantitative field of study such as mathematics, economics, statistics or quantitative finance
- You have experience in building or improving quantitative models?
- You have programming experience for example in R, Matlab, Python or C#
- You are a dedicated problem solver with a positive personality and can-do attitude
- You are familiar with the basic concepts of interest rates and interest rate risks. Working experience in banking/finance is an asset
- You are highly proficient in English, German is a plus
- You are a communicative and enthusiastic character who enjoys working in a team
Mr. T. Baumgartner would be delighted to receive your application.
Please apply via our career portal.