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[Closed]Quantitative Risk Analyst


 

Tasks

1. Further development and ongoing improvement of the data base necessary to measure and steer credit and market risk at a single customer as well as at a portfolio level.

2. Analysis of the data availability and quality, work out and implementation of the relevant and necessary steps to improve data availability and quality related to the quantification of relevant and material risks for the Branch (e.g. credit default risk, interest rate risk, FX-Risk).

3. Development of new and improvement of existent management and regulatory reporting tools and automation of processes (e.g. related to the risk-bearing capacity report and/or management information system).

4. Analysis of the model landscape, work out of alternatives to improve the models currently used and implementation of the chosen alternatives.

5. Support the credit decision process as well as the portfolio analysis in quantitative related issues, i.e. rating models, risk adjusted pricing, stress testing, simulations and risk aggregation.

6. Actively work on the coordination of the internal planning process and the elaboration of strategies (business and risk strategies).

7. Act as a link between the Risk Management, Accounting and IT-Department in topics related to data collection, processing and management.

8. Securing that developed and implemented models, reporting and quantification tools fulfill relevant regulatory requirements.

Requirements

1. Science (mathematics or physics) graduate or quantitative economics with strong practical application background.

2. At least three years of relevant job experience in the areas of quantitative risk management and/or risk controlling.

3. Knowledge and practical experience in the implementation of regulatory requirements from a quantitative point of view.

4. Knowledge and experience in the implementation of regulatory requirements related to risk-controlling tasks (e.g. MaRisk, CRR, CRD IV).

5. Knowledge of the common models and methods used in the financial industry to measure credit and/or market risk.

6. Experience in the development and implementation of models in users’ friendly IT-environments (i.e. MS-Excel or MS-Access) and proficiency in the development and management of data bases at different scales.

7. Programming skills in the MS-environment (VBA-Programming) and proficiency in using statistical software required.

8. Language skills: English and German.  Chinese would be a plus. Strong writing skills in English are needed.

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