Risk Modeler & Quantitative Analyst

Overview Risk Modeler & Quantitative Analyst

Our organization is seeking a skilled Risk Modeler & Quantitative Analyst to join our team. As a member of our risk management unit, you will be responsible for the development and improvement of our risk models and methodologies.

Responsibilities Participate in methodology projects, gathering and documenting requirements, considering stakeholder interests, regulatory constraints, and potential deficiencies in current methods exposed by quality assurance processes.

Investigate, analyze, and design risk methods and models, respecting the aims of accurately capturing risks while considering system or environmental constraints.

Design, develop, and test code changes required to implement risk methods in the risk systems, assisting technical teams responsible for optimization and promotion of the code to the production environment.

Ensure that all methodologies, tools, processes, and procedures are documented to a high standard, satisfying both internal and regulatory expectations, and that any methodological changes and corresponding decision of governing bodies are promptly reflected in relevant documentation.

Contribute to quality assurance processes surrounding risk measurement, including backtesting and VaR Adequacy (P&L Explain) process.

Cooperate with RISK model validation teams in the review and approval of risk models.

Support regulatory interactions, participating in industry working groups and Quantitative Impact Studies (QIS).

In a transactional or advisory capacity, assist risk managers and Front Office in the prompt, accurate, and astute risk assessment of deals, where standard and systematic methods may not be applicable or appropriate.

Requirements A strong academic background, with at minimum a Master’s in mathematics, physics, or quantitative finance. Both Master’s and PhDs are welcome.

A good command of both verbal and written English is essential.

Experience in a quantitative finance environment, preferably in a market risk or counterparty risk modelling capacity.

Sound understanding of stochastic processes and their application to risk factor simulations.

A practical knowledge of derivatives, their risk drivers, and the models used to price them.

Design and implementation of quantitative models, preferably using C# or C++ in a source-controlled environment.

What we offer The successful candidate will have the opportunity to further develop their quantitative skillset, joining a multicultural team of seasoned quantitative analysts eager to stay abreast of the latest market and industry developments.

As such, they will also have the opportunity to contribute to shaping the organization's and the industry's future of internal models and risk management.

The role is transversal in nature and the successful candidate will contribute to improving our organization's internal models in both market and counterparty risk spaces.

About the role This is a unique opportunity for an experienced Risk Modeler & Quantitative Analyst to make a significant impact on our organization's risk management strategy.

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