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.
- 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.