Senior Quant Analyst - IMM / Credit Risk Modelling (4689)

Your Qualifications:

  • Experienced quantiative Analyst with solid banking experience and recent work in mathematical / statistical projects
  • 2-5 years of relevant work or academic experience in credit risk modelling, ideally in credit portfolio/economic capital modelling or counterparty exposure modelling, alternatively AIRB or provisioning models
  • Understanding of IMM exposure methodologies, e.g. EE / EEPE / PFE exposure quantification methodologies
  • R programming skills are a must-have, Matlab and similar statistical languages appreciated
  • SR 11-7 experience would be a bonus
  • Capable of writing clear technical documents using mathematical & statistical methodologies as all risk models
  • Ability to communicate logically and precisely, including writing rigorous and clear mathematical model documentation
  • Fluent in English

Your Responsibilites:

  • Supporting on the methodology development for the Credit Economic Risk Capital (ERC) model
  • Work on data / statistical analysis, model design, prototype implementation, requirements capture, documentation, support on review process and support on governance
  • Focus on collateral  concentration risk framework / methodology which needs to be designed and incorporated into the existing Credit ERC model
  • Prototype implementation / requirements capture in IT specifications as well as documentation
  • Deal with a wide range of trading and banking book products / exposures, most importantly derivatives and SFT exposures

Are you ready for a new challenge and available in December in Zurich? We look forward to receiving your application in MS-Word on For any questions, please contact us: +41 44 485 44 99.