Quantitative Analyst - Risk
- Bruxelles, Bruxelles-Capitale, Belgique
- CDI, Plein-temps
- 23 nov. 17 2017-11-23
Quantitative Analyst - Risk
Vacancy: Quantitative analyst
Organizational context :
FI/FM Quants is a team with quantitative expertise required to model and risk manage complex derivatives. It provides support to the FI/FM (Financial Institutions and Financial Markets) Risk organization which combines responsibilities of the counterparty credit risk and the market risk trading departments for the FI/FM portfolio.
The main tasks of the FI/FM Quants team are in the area of pricing model validation, risk modelling and methodologies, and quantitative development .
In a broader context, the FI/FM Quants team is functionally collaborating with the Model Development department in Amsterdam. Model Development is a team of 40-50 professionals within the Financial Risk department and combines the modelling of a variety of risk models (regulatory credit risk models, Balance sheet risk models, Non-Financial Risk models, financial market risk models, non-regulatory retail models, bank wide risk models).
- act as a specialist within the FI/FM Quants team regarding pricing model validation in product areas such as mainly equity and commodity derivatives, but also fixed income derivatives, foreign exchange derivatives, credit derivatives, and CVA;
- participate in projects (FRTB, IM, SA-CCR, TRIM,...) and develop risk methodologies compliant with regulatory requirements ;
- co-operate with counterpart quantitative analysts who develop the pricing models that our department validates;
- co-operate with other quantitative analysts within Model Development who work on credit risk, ALM and other risk models;
- maintain tools, programming libraries and test environments that are set up to support the model validation process and the risk methods in the trading risk systems;
- write validation reports providing a quantitative assessment and documentation of the tests performed;
- write technical reports providing quantitative analysis and model documentation;
- perform quantitative analysis on market data, trade requests and risk functionality (such as VaR, Expected Shortfall, or sensitivity reports);
- give general quantitative support to risk managers in their specialist area.
We are looking for
Enthusiastic, open-minded academics with excellent analytical skills. You have a keen interest in quantitative finance and risk modeling. Furthermore, you have
- a university degree (PhD or MSc) in a quantitative field (econometrics, mathematics, physics or engineering);
- knowledge of financial mathematics, in particular option pricing and stochastic calculus;
- familiarity with financial markets, including recent, most important financial and regulatory developments;
- knowledge of C++ and/or quantitative software packages (Matlab, Mathematica) is a plus;
- fluency and excellent writing skills in English.