ID: #2190 Date: 29/06/17
|Sector(s):||IT & Telecoms jobs|
A strong interest and familiarity with risk management best practises, financial markets and economic developments; A strong academic background, with at least a Masters in mathematics, physics or quantitative finance. A Ph.D. is preferred but not essential, depending upon level of experience; Proven experience in quantitative finance gained in a counterparty risk modelling capacity; exposure to both market and counterparty risk management is a distinct advantage; A practical knowledge of derivatives, their risk drivers and the models used to price them (including CVA); sound understanding of Monte-Carlo based stochastic processes and their application to risk factor simulations; Exposure to at least one of the following asset classes: credit, repo, IRFX, equity, commodities; exposure to multiple asset classes is a distinct advantage; Design and implementation of quantitative models, using C# or C++ in a source-controlled environment; exposure to other languages (MatLab, Python); The role will expose the candidate to a wide range of professionals within the bank. Therefore, communication skills, both written and verbal, play an essential part of the day-to-day role. Previous experience in interacting with Front Office, validation functions and regulatory bodies is a distinct advantage; A good understanding and awareness of the regulatory framework for banks is desirable.
Lead methodology projects, gathering and documenting requirements, considering stakeholder interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance processes; Investigate, analyse and design risk methods, respecting the aims of accurately capturing risks whilst considering system or other environmental constraints; Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for optimisation and promotion of the code to the production environment; Contribute to the quality assurance processes surrounding risk measurement including back-testing and the VaR Adequacy (P&L Explain) process; cooperate with the risk model validation teams in the review and approval of risk models; Support regulatory interactions, participating in industry working groups and Quantitative Impact Studies (QIS); In a transactional or advisory capacity, assist risk managers and Front Office in the prompt, accurate and astute risk assessment of deals, where the standard and systematic methods may not be applicable or appropriate.
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Name BNP Paribas
Phone +44 (0) 20 7595 2000