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This is an opportunity for a Mid-level / Senior Quant to join a small team of quants who are responsible for designing the models and related risk framework as well as the implementation in the systems. You will be in charge of market risk models and related risk framework. They are looking for someone to Lead the design and improvement of risk models. Equity derivatives (Index and Equity Futures and Options) knowledge is essential
Some of your key responsibilities will be:
Implement new tools/prototypes to test/validate new methodologies including back-tests.
Be the key contact person for the independent validation reviewers and internal/external audit missions, internal/external presentation on market risk models.
Be involved in the default management process.
Maintain and enhanced the Risk analysis tool for Default management.
Propose improvements to the Head of department Risk - regarding risk methodologies.
Ensure that the model is correctly implemented, documented and in compliance with regulatory constant and Group policies.
You will need:
Excellent interpersonal and communication skills (a good level in English is mandatory); proven ability to work within a team
Strong VaR knowledge – Historical, parametric and monte - carlo
Knowledge in financial mathematics and market risks modelling, more particularly on Equity derivatives (Index and Equity Futures and Options).
Experience with VBA, R or SAS is preferable.
Excellent information analysis and presentation skills, with the ability to represent complex information in a simple and meaningful way