Senior Quantitative Analyst (m/f)

  • Competitive
  • Zürich, Schweiz
  • Festanstellung, Vollzeit
  • Swisslinx
  • 19 Feb 17

Senior Quantitative Analyst (m/f)

Our client is an international Life Reinsurance company.
On behalf of our client, Swisslinx is looking for a Senior Quantitative Analyst with excellent knowledge of Capital Markets to join their team in Zurich. The position reports to the Head of Portfolio Management and leads the quantitative efforts supporting the investment and the risk division for the firm.

Your mission

- Manage the quality and quantity of the firm's market data, and subsequent accessibility of that data for all relevant applications. This includes imputing and/or generating interest rate curves, volatility surfaces and other investment related market data
- Perform and improve performance attribution and other performance measures for the investment portfolio
- Maintain and produce sensitivity analyses, liquidity and scenario analyses, various VaR models, and default loss models. Perform and improve risk attribution on the investment portfolio, building a state-of-the-art risk factor decomposition
- Own, develop and improve quantitative portfolio optimizers. This shall include Black-Litterman, liability-driven investment (LDI) and portfolio hedging optimizers. Build predictive analytics tools to enhance forecasts and provide deep analysis
- Provide asset projections for the economic, rating agency, and regulatory capital adequacy measures related to the entire balance sheet
- Provide primary assistance in providing market data and asset allocation inputs and projections into the pricing process of new business
- Make recommendations to senior management on IT expenditures
- Test and update all versions of software, and refactor and enhance performance of software used
(including custom spreadsheets, databases, and other analytical functions built in-house)
- Document code and risk models
- Assist in the preparation of relevant work for executive or board meetings

Your background

- Seven or more years of comparable experience in a senior quantitative role in a capital markets capacity
- Strong academic understanding of interest rate, credit, and other primary risk factor modeling, with real world experience
- Strong understanding of US fixed income instruments
- Strong programming capabilities

What's on offer

Our client is offering a stimulating, challenging and outstanding working environment and conditions within a small but growing international team of seasoned Reinsurance and Capital Markets professionals.