What you'll do:
* Develop the calculation methodologies for valuation adjustment models that account for the model risk uncertainty;
* Develop Trading Risk methodologies, such as Incremental Risk Charge (IRC/DRC), VaR scenarios specifications, Risk not in model (e.g., for IRC and VaR models), Stress test;
* Develop Counterparty Credit risk models;
* Design model monitoring methodologies;
* Perform the production system implementation checks by comparing to your own benchmark implementation;
* Provide quantitative support to risk managers and traders (in the risk modelling context), to the integration of the new products/pricing models in the existing risk frameworks, development of tools to provide insight into model choices, analysis of the methodologies used for P&L explainer or market data proxies.
Ideally, you will have:
* A PhD or a MSc in a quantitative field, e.g., mathematics, physics, statistics/ econometrics etc;
* 3 to 7 years of Quant experience in the following areas:
o Market Risk models and/or Counterparty Credit Risk models and the implementation of such models in Python or C++;
o Derivatives pricing in at least on of the following asset classes: Interest Rate & Inflation, FX, Credit, Equity, Commodities and/or XVA, including model implementation in Python or C++;
o Familiarity with the most important regulatory developments (e.g. CRR Market Risk framework for the Trading Book, FRTB, Prudent Valuation framework, etc);
