Risk Modeling Specialist

  • Competitive
  • Zurich, Switzerland
  • Contract, Full time
  • Nicoll Curtin - Switzerland
  • 26 May 19

Risk Modeling Specialist

Risk Modeling Specialist

12 months contract

My Client is a Global Bank in need of a Risk Modeling Specialist to develop a Credit Portfolio Model for the regulatory capital calculations in the context of the Fundamental Review of the Trading Book. For this job in Zurich , my client is looking for an English-speaking candidate who can start asap.

Key responsibilities:

  • Lead the development of models within their area of responsibility and in accordance with policy
  • Ensure, together with the relevant functions and model owners, that the models comply with UBS's internal, as well as regulatory requirements
  • Help to ensure that UBS's approach to modeling risks and to product valuations is in line with appropriate industry practice
  • Take a broad view of the risks and help ensure that there are no material gaps in the measurement of risks and in the valuation of products
  • Understand the products, processes, systems and policies of UBS, as well as the regulatory requirements and trends relevant for fulfilling the role

Key deliverables:
  • Develop and document the DRC IMA model, proactively and constructively, while adhering to the firm's risk principles and standards
  • Support the model implementation, testing, and validation
  • Ensure regulatory requests are dealt with in a disciplined, timely and efficient manner
  • Exercise judgment and escalate issues for discussion at the relevant model governance forum, as needed

Essential Experience/Skills required for this job:
  • Strong hands-on skills in multi factor portfolio credit risk modelling, copulas, Monte-Carlo methods, calibration of correlations
  • Coding skills (C++, R, Java is a plus)
  • Ability to organize and prioritize own work to ensure a timely delivery
  • Ability to write technical model documentation in a clear and structured way
  • Fluent in English

If this sounds like the right opportunity for you just click apply or send your application directly to ines.radnic@nicollcurtin.com!

Please note that all applicants are welcome but only the must relevant for the role will be considered and contacted.