Quant Analyst

On behalf of our client, one of the most established financial institutions worldwide, Swisslinx are looking for a Quant Analyst with experience developing stress or credit models and knowledge of statistical programming languages such as R.

This is a contract starting in June running until end of the year, with a strong chance of extension.

The Credit Analytics Team is responsible for the methodology and development of the Credit Counterparty model used for Risk management and Capital calculation across all divisions and is dispersed across the globe. The group holds responsibility for the credit risk stress testing framework, along with group-wide development, calibration, implementation, maintenance and documentation of counterparty rating models, LGD and CCF models and for providing quantitative analysis and support at transaction and portfolio level to CRM and Front Office.

Your responsibilities would include developing, implementing and running stress models that will help assess the bank’s credit risk, in particular:

- Models to measure credit risk on an obligor and portfolio level under stress
- Analysis of historical data to estimate model parameters
- Regular analysis and control of model inputs, results and sensitivities
- Structuring of the data

In addition you will also be responsible for:

- Contribute to Writing a policy that specifies the scenario credit model development specific to stress
- Responsibility for strategic initiatives of the department as well as various projects such as stress testing framework development, model maintenance and monitoring including back testing
- Get involved in IT projects to drive implementation of Stress models in state of the art IT environment
- Performing ad-hoc analyses

As the ideal candidate for this position, you will possess the following skills:

- 5 years’ experience of working with credit models in a role as Risk Analyst, Risk Modeler, Credit Officer, Enterprise Risk Manager, or Quantitative Analyst on the market risk side
- Knowledge of Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) models
- Intermediate skills with R language nice to have
- Ability to write basic SQL queries
- Fluent English language knowledge
-  SAS knowhow is desirable
- Adaptable, dynamic, leans fast, able to delivering to short deadlines

- Fluency in English (written and spoken)

Are you interested to work in an international environment in one of the leading financial companies worldwide? Then apply now!