Quantitative Analyst – Modelling
Your Mission
You will be working for one of our CIB clients based in the Paris region.
Reporting to the Front Office or the Risk Department, your role will involve carrying out the following tasks :
-Designing and developing statistical pricing and risk assessment models for assets (Monte Carlo, Bootstrapping, etc.)
-Building and implementing risk analysis and management tools (VaR, Stress VaR, etc.) and sensitivity indicators
-Modelling the impact of line entry/exit and/or new strategy
-Contribution to fund performance projections and analysis of trajectories suggested by the Business Line in the strategic plan
-Benchmarking of subscribed and partner funds
-Ensures the security, reliability and quality of data
-Report on its observations and work (reports, summary notes, oral communications)
-Creating a statistical information system in conjunction with operational information systems
-Monitor developments in market practices in terms of modelling
Your Profile
-You have an engineering degree or 5 years’ higher education with a specialisation in Finance / Mathematics / Statistics / Econometrics.
-You have at least 3 years’ experience in a financial institution (CIB, Custodian, Brokerage, CCP, Asset Manager, etc.)
-You will have a good knowledge of risk modelling techniques (econometric models, statistical models, stochastic calculations, valuation of financial instruments, VaR, etc.) and good programming skills (C++, C#, Python, SAS, SQL, R).
-Knowledge of regulatory texts is a plus (Basel standards, IFRS, FRTB, ICAAP, etc.).
-You have a good level of English.