Job title: Senior Quantitative Risk Analyst
Job type: Permanent
Emp type: Full-time
Industry: Banking
Expertise: Other Risk Management Skills
Location: Brussels, Belgium
Job published: 01/07/2021
Job ID: 32793

Job Description

Our client, a bank-insurer, is looking for a Senior Quantitative Risk Analyst to strengthen its Financial Risk Team.

The recruit will actively contribute to a variety of missions:

  • Analyse/question financial models used by the trading room.
  • Assessing fair value and developing/refining methodologies for calculating value adjustments on collateralised and non-collateralised derivatives being arbitraged in the trading room.
  • Challenge volatility hedging solutions; provide advice on compliance with the risk appetite framework.
  • Monitor and implement regulatory developments/evolutions, such as Fundamental Review of the Trading Book, Prudent Valuation, Banking Act, SA CCR, etc.
  • Maintain and refine the internal VaR model (and hence the risk-weighted assets) and the expected loss calculation.
  • Developing pricing tools and making them available to the monitoring teams (credit derivatives, XVA, etc.)
  • Challenge the proposals made by the trading room in terms of the valuation of financial products and the request for new products.
  • Identify sources of model risk and propose a methodology to quantify model risk for a wide range of products and adjustments (CVA, FVA...)
  • Document the methodologies used for legislators, auditors, validation department and corporate auditors.
  • Calibrate stress scenarios and granular limits (greeks, scenarios...) for the Financial Markets business.
  • As a financial products expert working in the FM Risk Management division, you will also provide support to your colleagues in the division.
  • Senior management support.

 

Profile

  • Master’s degree in Civil Engineering, Physics, or another equivalent discipline.
  • Knowledge of the valuation of financial products such as swaps, swaptions, CMS, CDS, ABS swaps, etc.
  • Knowledge of End User Tools (Microsoft Access, Microsoft Excel, VBA) and knowledge of C++, Matlab.
  • Good understanding of value adjustment.
  • Understanding of regulatory constraints or accounting principles surrounding financial markets activities is an asset.
  • Writing skills.
  • Ability to work in a group but also independently.
  • Creativity, communication skills, good learning skills and proactivity.  
  • Fluency in French and/or Dutch, and at least a very good passive knowledge of the second national language.
  • Good knowledge of English.
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