This is a six month rolling contract starting ASAP, with a strong chance of extension (up to two years) or even internalization.
This team own externally built climate change credit stress testing models and work closely with team members on- and offshore. Your role would be to join a climate change project directly, by supporting the team consisting of 13 quants based in Zurich and India, who are developing models.
Responsibilities will principally focus on working closely with permanent team members and team lead in Mumbai to support tasks for the climate change credit stress testing project, as well as help backfill for climate change support efforts required by them.
Other responsibilities relate to all aspects of developers in charge of scenario credit models such as:
• Data sourcing, cleaning, modelling
• Statistical modelling and empirical analysis
• Model maintenance and governance
• Closing of open Model Risk Validation Findings
• Self-assessment of models / modelling standards against regulatory/accounting requirements.
• Conduct training/consultation sessions with users (credit risk management) and other relevant stakeholders (e.g. enterprise risk management) to discuss and agree approaches
• Implement models (e.g. R) and work with implementation teams for IT integration
You will work in a team of 3 responding to compliance user requests with high urgency, supporting high-profile clients/customers with tight regulatory deadlines working under high pressure due to regulatory directive and importance for the bank and its key stakeholders.
As the ideal candidate for this position, you will possess the following skills:
• A university degree in a quantitative discipline
• 2-3 years of experience as model developer
• Proficiency in coding (e.g. R, Python, Matlab or any OO-programming language)
• Experience in Credit Risk Modelling incl. stakeholder interaction, validation, implementation
• Fluency in English
Please note due to COVID interviews would be conducted remotely, however the role is based 100% in Switzerland. The team is currently split between WFH and office right now. Post COVID occasional home office will be permitted.
We look forward to receiving your application!