Clasificación del trabajo:Profesionales científicos e intelectuales : Profesionales de las ciencias y de la ingeniería : Matemáticos, actuarios y estadísticos : Matemáticos, actuarios y estadísticos. Akademische Berufe : Naturwissenschaftler, Mathematiker und Ingenieure : Mathematiker, Versicherungsmathematiker und Statistiker : Mathematiker, Versicherungsmathematiker und Statistiker.
Descripción de la oferta de trabajo:
We offer: Exciting role in our Trade Analysis - Credit Analytics is an integral part of Counterparty Credit Risk function under CRO division. This role based in Zurich will cover Swiss business in both Private and Investment Banking, working in close association with global teams based in Singapore, London, New York and Mumbai. Analyst will sit alongside methodology team based in Zurich and will have technical advisory responsibilities for business, risk officers and senior stake holders across the bank Perform accurate quantitative analysis on new and existing trades, calculating Potential Future Exposure (PFE), Expected Positive Exposure (EPE) and Initial Margin (IM) / Haircut for Derivatives portfolio covering Rates, Inflation, FX, Commodity, Credit and Equity Security Financing (Repo and Lending/Borrowing) Calculate Loan-To-Value / Haircuts for Equity Financing transactions covering Investment and Private Banking Liaise with Front Office (Sales & Trading, Prime Risk, Portfolio and XVA Management) and Credit Officers for exposure calculations and explanations Identify limitations and flag proactively to Methodology teams with appropriate proposed solutions Experience in Basel Regulatory Exposure and Capital requirements like PFE, EPE, Default and CVA RWA. Working knowledge of FINMA regulatory standards Interest and detailed understanding of industry wide regulatory reforms like Liquidity Framework, Collateral Concentration, BCBS IOSCO, Standard IM Model (SIMM), Dynamic Initial Margin (DIM), Clearing House mandates etc. Tactical solutions and tools for Pre Trade Analysis and complex transaction reviews You offer: 3-5 years’ experience of working in a Quantitative Risk role Experience in Structuring, Desk Quant or Model Validation will be considered Experience with derivatives pricing is vital Masters / Ph.D. in a quantitative subject like Mathematics, Physics or Computational Finance Detailed knowledge of counterparty credit risk, both on collateralized and uncollateralized methodologies Good understanding of MonteCarlo exposure models, Credit and Market risk concepts, FO pricing and risk measures Involvement with Quants and IT to build risk tools and improve system architecture Must have an additional certifications like CFA, FRM, or PRM Programming experience (e.g. Excel VBA/Macros, R, Matlab, C#) preferred – automating processes is important Knowledge of Bloomberg and Reuters Fluency in English Preference will be given to candidates already located in Switzerland Mr. J. Lindemann would be delighted to receive your application. Please apply via our career portal
Servicio de empleo de origen:SECO, Servicios Públicos de Empleo, Suiza.