Quant Role - Back Testing Counterparty Credit

- Development and prototyping of Back Testing methodologies. Back-testing of Monte Carlo Credit Exposure Models

- Back Testing Counterparty Credit exposure calculations according to Basel 3/CRD4

- Responsibility for the development of capital relevant risk methodologies in the derivatives area for FINMA, PRA and SEC.

- Possibility to support the IT strategic implementation of complex risk and simulation systems.

- Close collaboration with several internal stakeholders in the Investment Bank

- Other bespoke requests regarding exposure analysis for several audit or regulatory reports.