We are currently recruiting for a Quantitative Risk Analyst for a company in the banking industry. This person will be responsible for critical deliverables involving complex market risk models related to the bank's “Fundamental Review of the Trading Book” (FRTB) implementation.
what we offer
- B2B contract for 12 months
- Working in a remote model
- Our team is made up of people from all over the world, so in order for our communication to be fluent, we all speak English on a daily basis.
your tasks
- Develop methodology for quantitative analysis required on various work streams for FRTB-SA and FRTB-SA-CVA implementation within the bank.
- Produce high quality documentation for the FRTB-SA and FRTB-SA-CVA process, interact with the model validation team.
- Work with existing market risk models as required, and provide solutions where weaknesses are identified in testing, or where new business requires model enhancements.
- Interact confidently with other risk management teams, the front office, technology and control groups in order to implement improvements to the FRTB market risk models and to support any related production processes.
- Prepare reports and detailed quantitative analysis for presentation to senior management and regulators.
what we expect
- Experience in : derivatives pricing, risk management practices, regulation, numerical computation, statistics,FRTB: BCBS, CRR2, CRR3, etc. regulations.
...
Ability to interpret and translate regulations into technical specification to serve as foundation for the implementation, testing, validation, and compliance.
Strong hands-on IT skills: Python, R, VBA, SQL,
Experience in Quantitative Risk Modelling.
Employment agency entry number 47
this job offer is intended for people over 18 years of age