Senior Quantitative Credit Risk Modeler ; f​/m​/d

Puesto: Senior Quantitative Credit Risk Modeler 100% (f/m/d)

At Julius Baer, we celebrate and value the individual qualities you bring, enabling you to be impactful, to be entrepreneurial, to be empowered, and to create value beyond wealth. Let’s shape the future of wealth management together. You will be a member of the Credit Models team within the Financial Portfolio Risk Management & Control unit of CRO and you will be responsible for development, maintenance and enhancement of credit risk models, i.e. internal credit risk rating approaches (PD, LGD), IFRS 9 Expected Credit Loss (ECL) models and credit loss stress testing models, covering the end-to-end credit models lifecycle.

YOUR

CHALLENGE

Develop state-of-the-art credit risk models, i.e. internal credit risk rating approaches (PD, LGD), IFRS 9 Expected Credit Loss (ECL) models and credit loss stress testing models across all relevant portfolios using statistical methods.

Interact regularly with subject matter experts from Credit Risk Management and other functions to ensure that model user requirements are properly reflected and translated into high-quality models.

Provide model prototypes applying standard coding language for impact analysis and model implementation testing.

Prepare high-quality model documentations and materials in line with the Group’s model risk governance framework.

Collaborate closely with the Model Validation team during the independent model review and remediate potential validation findings.

Execute the regular model performance monitoring, backtesting and benchmarking.

Drive innovation through the adoption of advanced quantitative techniques – including interpretable machine learning applications – while maintaining transparency, auditability and regulatory acceptance.

Support the implementation of new models and model changes into the Group’s IT infrastructure.

Act as subject matter expert for all credit model related questions from users across Credit Risk Management and Front Office.

YOUR PROFILE

Master’s degree in a quantitative area, such as Mathematics, Statistics, Econometrics, Quantitative Finance.

Professional qualifications such as FRM or CFA are considered an advantage.

Minimum of 5 years of relevant experience in credit risk modelling within a financial institution, ideally with wealth management credit products knowledge.

Proven hands-on experience in developing and maintaining credit risk models as well as demonstrated expertise in statistical and econometric methods.

Expertise in large data querying and analysis.

Strong proficiency in programming, e.g. in Python or R.

Results-oriented mindset with excellent analytical and problem-solving skills.

A collaborative, customer-focused attitude with experience in cross-functional teamwork.

Outstanding interpersonal and communication skills, with fluency in English (written and spoken).

Further interesting job opportunities can be found on our Career site.

The international reference in wealth management Julius Baer is the leading Swiss wealth management group.

We focus on servicing and advising sophisticated private clients from around the world, taking into account what truly matters to them – in their business and personal life, today and for future generations.

Headquartered in Zurich, we are present in around 60 locations worldwide, including Bangkok, Dubai, Dublin, Frankfurt, Geneva, Hong Kong, London, Luxembourg, Madrid, Mexico City, Milan, Monaco, Mumbai, Santiago de Chile, Shanghai, Singapore, Tel Aviv, and Tokyo.

Why join Julius Baer?

At Julius Baer our employees enjoy the benefits of a global company with the support and collegiality of a much smaller one.

We are growing quickly, but we remain dedicated to maintaining our accessible structure with flat hierarchies, and approachable and supportive leaders.

With…