For our client - one of the biggest bank in Switzerland - we are looking for Quantitative Analyst.
Details about the position:
Location: Zurich Uetlihof
Workload: 100% (fully in the office)
Start: ASAP
End: temp via Hays)
We're looking for a Quantitative Analyst to:
support the development of the Lombard Lending models for both banking and trading book in line with regulatory requirements and models used for capital calculation
develop prototype codes that will be used in productive systems
interact with Risk and Finance expert functions as well as business representatives across the globe to deliver efficient and regulatory compliant solutions
support various stakeholder requests
Your team
You'll be working in the Lombard Lending Models Stream within Quantitative Risk Modelling Team. We develop and maintain the credit exposure measurement capabilities of the GWM and IB divisions. The quantitative methods we use are based on econometrics and mathematical finance techniques and involve Monte Carlo-based simulations.
Your expertise
experience in the quantitative modelling space or the ability to quickly learn and adapt to the demand of this function
a sound understanding of asset pricing and/or SFT, OTC and ETD transactions across all major asset classes
strong analytical skills and the ability to apply techniques from numerical analysis, statistics and financial mathematics to solve practical problems
experience within the finance sector, ideally utilizing stochastic calculus is a plus
previous exposure to derivative pricing models (preferably across a range of asset classes) is a plus
good IT skills in Python or R. C/C#/C++ is a plus
capable of documenting model development in a clear way
self-driven, organized and detail-oriented with a solid understanding of banking industry
MS or PhD degree or equivalent in mathematics, statistics, physics, computer science or engineering
We are waiting for your application