Quantitative Project Manager with exposure to IMM
- Amsterdam, Noord-Holland, Netherlands
- Contract, Full time
- People in Computers (PiC)
- 13 Sep 16
Key role for IMM approval. Full time contract for a Senior Quantitative CVA Risk Advisor.
Our Global Investment Banking client is currently looking for a Senior Quantitative Project Manager with experience in a CVA department of an IMM approved Bank to join their project team to help get their IMM in place. The team is a global team within the Risk organization that provides expertise in relation to CVA, regulatory requirements and model development for internal and regulatory default risk and CVA capital.
The role will involve:
- Support the back testing activities performed by the Quants team by specifying the back testing criteria, the definitions of the representative counterparty portfolio’s, setting up a monitoring system and defining possible fall back methods.
- Supports the documentation process necessary to get regulatory approval to use IMM.
- Support the documentation of the models, and the processes and controls around them.
- Assessment of area’s where the internal risk model is not aligned with the day to day risk management and identify any issues in complying with the use-test as defined in the regulatory rules.
- Setting up a monitoring system to safeguard the alignment of the Mark-to market in the front office systems and those in the simulation environment.
- Setup a system to monitor the general wrong way risk in the trade portfolio.
- Setup a system for stress testing and scenario analysis to monitor the general wrong way risk in the trade portfolio.
- Identify current data gaps in the risk systems, or area’s in which potential fails in system integrity can occur that needs to be addressed and monitor the priority and follow up given to them.
Excellent analytical skills, with an extensive knowledge of financial derivatives and experience in participating in large projects.
- A university degree (PhD or MSc) in a quantitative field (such as mathematics, financial mathematics, financial engineering or econometrics)
- Able to read and understand technical reports provided by quantitative analyst and model documentation to a fair level of detail.
- Strong knowledge within CVA - Counterparty Credit Risk and experience in an IMM bank
- Experience with large projects and setting up project documentation.
- Knowledge of derivatives pricing, in particular option pricing and stochastic calculus;
- Familiarity with financial markets, including recent, most important developments;
- Knowledge of regulatory rules (CRR, EMIR, etc)
- Fluency and excellent writing skills in English.
Please apply ASAP, Interviews will start next week.