Quantitative Analyst—Model Risk Management

Vos missions au quotidien

• Test and design quantitative models; calibrate, test, and validate models for monitoring tools, regulatory requirements, futures contracts, barrier options, swaptions, etc.
• Monitor global models (12-hour Libor rates for the summer crisis), calibrated models (rates, caps), and simulation models (SABR, model calibration and validation)
• Ensure a comprehensive set of models covering market risk and credit risk (mortgages, ABS, collateral), including the SABR models
• Ensure, both internally and externally, that the various stages of a model's life cycle are followed (calibration, back-testing, validation, implementation of validation processes)
• Use and master model development tools (C++, Python, MATLAB)
• Contribute to projects aimed at diversifying exploration capabilities and risk modeling, and to the development of a model risk management function

Skills and Qualifications

• A solid understanding of pricing models, risk models, and risk indicators
• Proficiency in practical C++ and C# programming
• Knowledge of global and/or quantitative finance
• Proficiency in C++, C (all programming languages)
• Programming skills in statistics, technical analysis, validation, and modeling
• Proficiency in algorithms (Java, algorithms, statistics, and technical/functional skills in this general field)
• Languages: English

Pourquoi nous choisir ?

• To offer a wide range of opportunities and a rich and varied career in which you can fully express your talents
• Personalized guidance to help you optimize the path that will allow you to maximize your potential
• Continuing and customized education to improve the professional and managerial skills relevant to your career
• Develop your expertise, your sensitivity, and your interpersonal skills
• Innovative Projects and Tools, Well-Being, and Rapid Career Advancement