Responsibilities:
- Conduct in-depth analyses related to regulatory requirements for Legal Entities in the EMEA region
- Maintain and refine quantitative analyses for methodologies related to Equity Risk simulations
- Prepare high-quality documentation with statistical justifications and liaise with the model validation team
- Work with existing market risk models, identifying and addressing weaknesses, as well as implementing model enhancements for new business needs
- Collaborate with risk management teams, front office, technology, and control groups to enhance market risk models and support related production processes
- Generate detailed reports and quantitative analysis for senior management and regulatory bodies
Requirements:
- Postgraduate degree in a quantitative field such as Mathematics, Physics, Statistics, Data Science, or Engineering
- Strong knowledge and experience in market risk modeling, derivatives pricing, exotic products, risk management practices, and financial regulations (Basel 2.5, Basel 3)
- Proficiency in statistical techniques used in Financial Engineering , such as Principal Component Analysis (PCA), Parametric Approximations, and Expected Weighted Averages
- Ability to interpret and translate regulatory guidelines into technical specifications for implementation, testing, validation, and compliance
- Advanced programming skills in Python, VBA, SQL, Unix, and other relevant tools
- Strong analytical mindset and problem-solving abilities, with a keen interest in quantitative risk modeling and financial markets
- Excellent oral and written communication skills, with the ability to present complex quantitative concepts to diverse stakeholders
- Ph D or MSc qualification in a relevant field is strongly preferred
Offer:
- Private medical care
- Co-financing for the sports card
- Constant support of dedicated consultant
- Employee referral program
