Quantitative Market Risk Analyst

Responsibilities:

• Conduct in-depth analyses related to regulatory requirements for Legal Entities in the EMEA region
• Maintain and refine quantitative analyses for methodologies related to Equity Risk simulations
• Prepare high-quality documentation with statistical justifications and liaise with the model validation team
• Work with existing market risk models, identifying and addressing weaknesses, as well as implementing model enhancements for new business needs
• Collaborate with risk management teams, front office, technology, and control groups to enhance market risk models and support related production processes
• Generate detailed reports and quantitative analysis for senior management and regulatory bodies 

Requirements:

• Postgraduate degree in a quantitative field such as Mathematics, Physics, Statistics, Data Science, or Engineering
• Strong knowledge and experience in market risk modeling, derivatives pricing, exotic products, risk management practices, and financial regulations (Basel 2.5, Basel 3)
• Proficiency in statistical techniques used in Financial Engineering, such as Principal Component Analysis (PCA), Parametric Approximations, and Expected Weighted Averages
• Ability to interpret and translate regulatory guidelines into technical specifications for implementation, testing, validation, and compliance
• Advanced programming skills in Python, VBA, SQL, Unix, and other relevant tools
• Strong analytical mindset and problem-solving abilities, with a keen interest in quantitative risk modeling and financial markets
• Excellent oral and written communication skills, with the ability to present complex quantitative concepts to diverse stakeholders
• PhD or MSc qualification in a relevant field is strongly preferred

Offer:

• Private medical care
• Co-financing for the sports card
• Constant support of dedicated consultant
• Employee referral program