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Zurich, Zurich, CH

Liquidity Risk Modelling & Reporting Professional (80 - 100%)


About Swiss Re

Swiss Re is one of the world’s leading providers of reinsurance, insurance and other forms of insurance-based risk transfer, working to make the world more resilient. We anticipate and manage a wide variety of risks, from natural catastrophes and climate change to cybercrime.

At Swiss Re we combine experience with creative thinking and cutting-edge expertise to create new opportunities and solutions for our clients. This is possible thanks to the collaboration of more than 13,000 employees across the world.

We offer a flexible working environment where curious and adaptable people thrive. Are you interested in joining us?


About the Role

We are looking for a Liquidity Risk Modelling and Reporting Professional to define, build and coordinate the maintenance and further improvement of our liquidity risk modelling and reporting process. These include all our major legal entities and a range of both on and off-balance sheet risks (e.g. the liquidity analysis of cash and investment, reinsurance liabilities, external debt, etc.).


As a specialist in the field, you will be one of the main business owners responsible for our risk analytics application - FRS Global RiskPro. You will handle a comprehensive part of the related liquidity reporting processes, as well as the liquidity planning process.

The role is instrumental to our team and you will lead and coordinate liquidity modelling, stress testing topics and ensure that the implementation is consistent with Swiss Re's funding liquidity risk measurement framework. You will work closely with our Risk Management colleagues to review the corresponding methodologies. You´ll prepare regular free funding and liquidity stress test reports and support our business unit teams, local CFOs and CROs in their management activities. You will have the opportunity to strengthen your knowledge to other Treasury management activities, e.g. related to foreign exchange and capital management and have frequent interaction with other Treasury teams (e.g Balance Sheet Management and Corporate Finance).


Your tasks and activities will include:

  • Take ownership of liquidity modelling processes based on the risk analytics application (RiskPro), including documentation.
  • Ensure that liquidity risk is modelled and reported in line with the respective measurement framework and further develop the corresponding methods.
  • Define, build and maintain the modelling requirements for a wide range of on- and off-balance sheet products and advice Treasury IT on the implementation (e.g derivatives and securities lending activities).
  • Manage comprehensive parts of the monthly modelling and reporting process (e.g contingent liquidity exposures, collateral management and securities lending activities)
  • Coordinate and review the monthly and quarterly updates in relation to risk management inputs linked to Internal Capital Adequacy Model (ICAM) and Financial Market Risk Reporting processes (e.g contingent claims, contingent downgrade requirements, interest rate and credit spread stress parameters).
  • Strive to improve the reporting infrastructure using MBSI Cube and Dashboards, including a potential alignment with the FX and capital reporting tools
  • Prepare cash flow and liquidity scenario analysis, e.g. for liquidity planning, the liquidity framework reviews, the SST and ORSA scenarios, the interest rate and credit spread analysis to the Board of Directors
  • Contribute to the overall maintenance of the liquidity reporting infrastructure in close cooperation with Treasury IT, including the related operational risk controls.


About the Team


The Treasury Liquidity Modelling and Reporting team is in the Treasury Business Services (TBS) unit of Group Treasury department and is responsible for the liquidity modelling and reporting processes for Swiss Re Group and provides the Treasury Management Units, Business Units, Legal Entities and Risk Management Units with timely and relevant management and risk information. There is a close and frequent teamwork between Liquidity modelling and reporting and the FX and Capital Reporting and Analytics teams and Reporting Infrastructure & Transaction Services team of TBS.


About You


  • University or master's degree in quantitative field, e.g. Mathematics, Actuarial Sciences or Economics
  • Proven experience (minimum of 5 years) in risk modelling and reporting within the Financial Services Industry
  • Deep understanding of the structure, value drivers and risks inherent in financial market instruments and reinsurance products as well as a financial institution's balance sheet
  • Strong analytical skills as well as understanding of financial instruments
  • Strong know-how in applying sophisticated reporting and data analytics or reporting tools
  • Strong and hands-on experiences in programming skills, preferably Java.
  • Experience in Python or R is an advantage
  • Ability to maintain a comprehensive and global risk modelling and reporting tool and to strive for constant improvements
  • Project management skills and ability to deliver on initiatives and to coordinate activities in working groups
  • Teammate who is creative, forward-thinking, reliable and proficient
  • Proficient in MS Excel and MS PowerPoint
  • Good communication skills and proficient in English


Did we catch your attention? Submit your application today!


"We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, color, national origin, gender, sexual orientation, age, marital status, veteran status, or disability status."

Reference Code: 102038 


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