Visit www.acad.jobs with all Jobs for Academics!
                
Position: Senior market risk modelling specialist
Institution: Placement through Fenchurch Associates
Location: Switzerland
Duties: Take a leading role in the audit of the implementation of FRTB, focusing on Expected Shortfall (ES), Value-at-Risk (VaR), Internal Model Method (IMM) for counterparty credit risk, and credit valuation adjustment (CVA) approaches by leading banks in Switzerland. This entails providing assurance and adding value on model permissions under the current Basel 3 and the future Basel 4 rules. You and your team provide Subject Matter Expert (SME) inputs into audits with focus on compliance with regulatory requirements about risk modelling, valuation, stress testing, and other areas of relevance for decision-making; Take a leading role in assessing the appropriateness of models due for approval by various regulators; Take a leading role in leveraging emerging technologies available at the Company, including Artificial Intelligence (AI) and Robotic Process Automation (RPA), around market risk modelling; Involved in developing value-adding client proposals and solutions and taking these to the market. He/She interacts with risk managers, traders, model developers and validators, internal auditors, and regulators; Involved in local and global initiatives by the Company, such as Regulatory Reform, e.g. Basel IV, or market reforms, e.g. the reform of reference interest rates; Build on an existing specialist reputation in the market by speaking at external and internal conferences, professional network events, and the publication of articles and flyers
Requirements: Has a Master or PhD degree in an applied quantitative discipline (e.g. Statistics, Econometrics, Actuarial Science, Financial Engineering, Applied Mathematics, Quantitative Finance) and you may have completed your CQF, CERA, CFA, PRM, or FRM diploma; Has 6 to 10 years of experience of working in the area of quantitative financial modelling in the banking industry or in a supervisory capacity; Has experience in assurance or prudential work on market risk measurement and management would be an asset; Has experience in interactions with FINMA would be an asset; Has experience with advanced approaches for counterparty credit risk, especially the Internal Model Method (IMM), would be an asset; Able to work independently and as a strong team player. The role involves coordinating multiple demands and priorities, which requires attention to details, strong analytical and problem-solving skills, and the ability to consistently deliver quality results; Has the ability to develop strong client relationships, both externally and internally, in order to increase consulting and assurance opportunities; Has excellent communication skills in English. German or French would be an asset. A key emphasis will be to communicate technical complexity to both technical and non-technical audiences, which will occasionally include regulators
   
Text: Senior market risk modelling specialist Full time | Fen Associates | Switzerland Posted On 15/05/2020 Job Description The Senior Market Risk Modelling Anlayst is part of the financial risk modelling team focused on quantitative advisory and auditing services in the area of risk measurement and management, including the calculation of regulatory capital under current and future requirements. He/She together with a diversified team of risk and regulatory experts, data scientists, and actuaries. Take a leading role in the audit of the implementation of FRTB, focusing on Expected Shortfall (ES), Value-at-Risk (VaR), Internal Model Method (IMM) for counterparty credit risk, and credit valuation adjustment (CVA) approaches by leading banks in Switzerland. This entails providing assurance and adding value on model permissions under the current Basel 3 and the future Basel 4 rules. You and your team provide Subject Matter Expert (SME) inputs into audits with focus on compliance with regulatory requirements about risk modelling, valuation, stress testing, and other areas of relevance for decision-making. Take a leading role in assessing the appropriateness of models due for approval by various regulators. Take a leading role in leveraging emerging technologies available at the Company, including Artificial Intelligence (AI) and Robotic Process Automation (RPA), around market risk modelling. Involved in developing value-adding client proposals and solutions and taking these to the market. He/She interacts with risk managers, traders, model developers and validators, internal auditors, and regulators. Involved in local and global initiatives by the Company, such as Regulatory Reform, e.g. Basel IV, or market reforms, e.g. the reform of reference interest rates. Build on an existing specialist reputation in the market by speaking at external and internal conferences, professional network events, and the publication of articles and flyers. Requirements Has a Master or PhD degree in an applied quantitative discipline (e.g. Statistics, Econometrics, Actuarial Science, Financial Engineering, Applied Mathematics, Quantitative Finance) and you may have completed your CQF, CERA, CFA, PRM, or FRM diploma. Has 6 to 10 years of experience of working in the area of quantitative financial modelling in the banking industry or in a supervisory capacity. Has experience in assurance or prudential work on market risk measurement and management would be an asset. Has experience in interactions with FINMA would be an asset. Has experience with advanced approaches for counterparty credit risk, especially the Internal Model Method (IMM), would be an asset. Able to work independently and as a strong team player. The role involves coordinating multiple demands and priorities, which requires attention to details, strong analytical and problem-solving skills, and the ability to consistently deliver quality results. Has the ability to develop strong client relationships, both externally and internally, in order to increase consulting and assurance opportunities. Has excellent communication skills in English. German or French would be an asset. A key emphasis will be to communicate technical complexity to both technical and non-technical audiences, which will occasionally include regulators. Has experience in coding and command at least one of the following programming languages: R, SAS, or Python.
Please click here, if the Job didn't load correctly.







Please wait. You are being redirected to the Job in 3 seconds.