Banking

Risk Trading Quant Contract Full Time

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Quantitative Analyst for the Risk Trading Quant Team in the Integrated Risk Model Development department.
We are an energetic international team of highly qualified professionals.
Our area of expertise is Trading pricing models, Market risk and Counterparty credit risk in the Trading book.
We are part of the Integrated Risk Model Development department, which comprises of a large team of modelling experts: Trading Risk, Credit Risk and Market Risk in IRRBB and Balance Sheet Risk models, with state-of-the-art modelling methods, tooling, and data-processing technologies. 
The position offers excellent opportunities to excel in what you do and to broaden your modelling and coding skills, as well as exposure to a dynamic and agile international working environment.
Does it sound interesting? Please read on!

What you’ll do
The team activities are quite varied – here are some of the main ones:

  • Develop the calculation methodologies for valuation adjustment models that account for the model risk uncertainty;
  • Develop Trading Risk methodologies, such as Incremental Risk Charge (IRC/DRC), VaR scenarios specifications, Risk not in model (e.g., for IRC and VaR models), Stress test;
  • Develop Counterparty Credit risk models;
  • Design model monitoring methodologies;
  • Perform the production system implementation checks by comparing to your own benchmark implementation;
  • Provide quantitative support to risk managers and traders (in the risk modelling context), to the integration of the new products/pricing models in the existing risk frameworks, development of tools to provide insight into model choices, analysis of the methodologies used for P&L explainer or market data proxies.

How to succeed
You have:

  • A PhD or a MSc in a quantitative field, e.g., mathematics, physics, statistics/ econometrics etc;
  •  3 to 7 years of Quant experience in the following areas:
    • Market Risk models and/or Counterparty Credit Risk models and the implementation of such models in Python or C++;
    • Derivatives pricing in at least on of the following asset classes: Interest Rate & Inflation, FX, Credit, Equity, Commodities and/or XVA, including model implementation in Python or C++;
    • Familiarity with the most important regulatory developments (e.g. CRR Market Risk framework for the Trading Book, FRTB, Prudent Valuation framework, etc);
  • Strong communication skills and fluency in English; and
  • Constructive attitude and pro-active team player.

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