For a project at our client's site (home office possible within Switzerland), an international bank based in Zurich, we are looking for an experienced Risk Modelling Specialist - Derivatives / Python.
Tasks
- Development of models to cover non-directional risk, including illiquidity for bonds, non-linear equities, concentration and basis risks
- Implementation of the developed models in Python
Requirements
- Experience in non-directional risk modeling for SFT and Derivatives products with a degree in MS or PhD
- Prior working experience in the financial services industry, including exposure to derivative pricing models, preferably across a range of asset classes
- Solid understanding of asset pricing and/or SFT, OTC and ETD transactions across all major asset classes
- Good IT skills in R, Python and SQL
- Experience in working with large data sets is a plus
- Strong analytical skills and the ability to apply techniques from numerical analysis, statistics and financial mathematics to solve practical problems
- Good communication skills with colleagues at all levels in the organization
- Fluent in English