Design the methodologies for Market Risk internal models
Determining best quantitative methods and techniques for models with the support of complex programming.
Coverage includes risk factor evolution models for Value at Risk, Incremental Risk Charge, Counterparty Credit Risk simulation models; Market Risk Economic Capital and Stress Testing models
Gain the experience and work with the pricing models across the different financial markets pricing systems in the equity derivative and commodity asset classes, focusing on the model risk methodologies.
Provide quantitative support to risk managers and traders, such as tools to provide insight on model choices, analysis of the methodologies used for P&L explain or market data proxies.
A PhD or a MSc in a quantitative field and strong track record in financial services
Experience, with familiarity of derivatives pricing, risk models and the market developments
Strong product knowledge across equity derivatives essential. Additional experience in commodities preferred.
Strong knowledge and experience with programming languages, especially C++ and/or Python
Competitive salary and benefits package