Risk Modeling Specialist


Risk Modeling Specialist

12 months contract

My Client is a Global Bank in need of a Risk Modeling Specialist to develop a Credit Portfolio Model for the regulatory capital calculations in the context of the Fundamental Review of the Trading Book. For this job in Zurich, my client is looking for an English-speaking candidate who can start asap.

Key responsibilities:

  • Lead the development of models within their area of responsibility and in accordance with policy
  • Ensure, together with the relevant functions and model owners, that the models comply with UBS’s internal, as well as regulatory requirements
  • Help to ensure that UBS’s approach to modeling risks and to product valuations is in line with appropriate industry practice
  • Take a broad view of the risks and help ensure that there are no material gaps in the measurement of risks and in the valuation of products
  • Understand the products, processes, systems and policies of UBS, as well as the regulatory requirements and trends relevant for fulfilling the role

Key deliverables:

  • Develop and document the DRC IMA model, proactively and constructively, while adhering to the firm’s risk principles and standards
  • Support the model implementation, testing, and validation
  • Ensure regulatory requests are dealt with in a disciplined, timely and efficient manner
  • Exercise judgment and escalate issues for discussion at the relevant model governance forum, as needed

Essential Experience/Skills required for this job:

  • Strong hands-on skills in multi factor portfolio credit risk modelling, copulas, Monte-Carlo methods, calibration of correlations
  • Coding skills (C++, R, Java is a plus)
  • Ability to organize and prioritize own work to ensure a timely delivery
  • Ability to write technical model documentation in a clear and structured way
  • Fluent in English

If this sounds like the right opportunity for you just click apply or send your application directly to ines.radnic@nicollcurtin.com!

Please note that all applicants are welcome but only the must relevant for the role will be considered and contacted.

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