Quantitative Risk Analyst

Employer
Experis
Location
Lisbon (PT)
Salary
To be negotiate
Posted
Aug 07, 2019
Closes
Aug 23, 2019
Job Function
Banking, Risk Management
Employment Type
Full Time
Education
Masters

Preparing his new area of RISK in Lisbon, our client, an international corporate and investment banking is now recruiting his entire Back-Office to work as the first-line of support of the Risk Area.

Specifically, this role within the RISK Global Markets Quantitative Team will have the following responsibilities in collaboration with the global Quant Team:

• Preparation of annual model reassessment and model re-review (model scope, performance, cartography, benchmarking, impact…)

• Maintenance and continuous development of model performance monitoring framework

• Review of GMQR system releases coordinating with GMQR and IT

• Review and control of model use and setup (model configuration, product-model-mapping control…)

• Maintenance and continuous development of the official model logs and repositories (approvals, performance, scope and restrictions, documentation…)

• Coordination of interactions of valuation model approvals with other internal and external approval processes (interactions with Market/Counterparty Risk Model approvals, regulatory approvals for example)

 

PROFILE

  • Experience between 1 to 5 years in relevant areas (Data Science, Quantitative and Risk Analysis)
  • Knowledge of derivatives instruments and associated risk drivers is a must and experience with simulation models (Monte-Carlo, interest rate, FX models, among others)
  • Strong programming skills in R and / or Python
  • Solid Excel / VBA
  • Programming languages, such as javROLE data sascript, jQuery are a plus
  • Knowledge in Machine Learning
  • Ability to react quickly but precisely in high pressure trading situations with Front Office interactions, requiring a structured approach and resourcefulness
  • Deadline oriented

 

If you're looking for an opportunity to join a new dynamic and international organizational environment in the Banking Sector, don't forget to send me your CV in English.

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