Quantitative Modeller

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12376en
  1. Contract
  2. English
  3. Associate
  4. Digital & Technology
  5. Zurich
  6. Financial Services
  7. Risk Modelling, Quant Modelling, C#, Derivative Pricing, Back Testing
This vacancy has now expired
As the premier supplier to our client, an international bank with headquarters in Zurich, Swisslinx are looking for a highly motivated Quantitative Modeller strong quantitative knowledge and good programming experience of C# to support credit risk model development and implementation.

This is a 6 month contract starting ASAP with a strong chance of renewal up to two years.

As the successful candidate you will join a small model performance monitoring team responsible for back testing of credit risk capital models split between Zurich and India, with a focus on back testing and regulatory reporting.

You will be responsible for the following:

• Development, prototyping, and implementation of methodologies for back testing of Monte Carlo counterparty credit risk models
• Counterparty credit exposure calculations according to Basel 3 / CRD4
• Development of capital relevant risk methodologies in the derivatives area for FINMA, PRA, and SEC
• Possibility to support IT in the strategic implementation of complex risk and simulation systems
• Close collaboration with several internal stakeholders around the globe (front office quants, financial accounting, CVA desk and other risk departments)

As the ideal candidate you will possess the following skills and experience:

• Around 3-7 years professional experience in similar quantitative domain
• Experience programming in C#
• Good experience of financial products
• Background in back testing or derivative pricing
• Fluency in English

The following skills are nice to have:

• Credit risk knowhow
• Experience with F#, R and VBA

Please note due to COVID interviews would be conducted remotely, however the role is based 100% in Switzerland.

Are you a passionate quant looking for a role within an international and progressive environment? We look forward to receiving a copy of your CV.

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