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Act as subject matter expert in terms of Product Risk Rating (PRR) methodologies as well as MSCI Risk Metrics and MSCI Barra One risk models
Further develop the Bank's current PRR methodology and support product risk governance decisions Initiate and drive risk model enhancements and re-calibration to keep up with industry developments Act as second level support in case of questions or problems regarding rating of instruments Define risk calculation methodology for new product types Review model and model parameters (e.g. stress tests factors and calibration, multi-asset risk factors etc.) Check data quality for newly added instruments and assign proxies if required Analyse results using statistical techniques and data analytics to locate issues and apply corrective measures Ensure regular independent validation of the product risk ratings and their underlying components Provide Bank-wide training on all PRR methodology related topics Develop and implement databases, data collection systems, data analytics and other strategies that optimize statistical efficiency and quality Locate and define new process improvement opportunities
Master degree in Mathematics, Quantitative Finance, Economics or Statistics Solid background and knowledge in investment risk management and quantitative finance topics 2+ year experience in market risk/investment risk A profound understanding of risk topics (market/credit/ liquidity risk), risk assessment of linear vs. non-linear products, or direct vs. collective instruments, risk factor models Technical expertise regarding data models and database design development Strong knowledge of and experience with programming (XML, Python) Strong analytical skills with the ability to collect, organize, analyze, and disseminate significant amounts of information with attention to detail and accuracy Profound IT knowledge with an emphasis on database development skills (MS Office, hands-on experience with MS Access / VBA, SQL) Data science know-how and experience with software applications such as R would be a plus Strong analytical skills and flair for analyzing large data sets and risk figures Fluency in spoken and written German and English is a must Able to work on own initiative, willing to take responsibility and ownership Distinguished flexibility and efficiency Able to build reliable and trusted relationships within the various functions of the organization Self-motivation, discipline, task focus, ability to structure and present work and proven record of delivering high-quality results to strict deadlines