Associate/AVP - Financial Engineer - Risk Methodology - Investment Bank

A career opportunity With our Client's an Investment Bank.

Job Title: Financial Engineer & (Team Head)

Functional Title: Associate Level/Assistant Vice President

Division: Risk Methodology

Number of direct reports: initially 4

The primary objective of RM is to provide industry-leading models for risk measurement and capital demand estimation. These models need to measure risk as accurately as possible while being risk sensitive

(i.e. reflecting the impact of hedges) and commercially justifiable.

Responsibilities will include:

Methodology:

- Recalibration of model parameters which are used in the internal risk and capital models for market risk, in particular for Value-at-Risk models

- Recalibration of model parameters which are used in the internal ratings based models for credit risk

- Recalibration of the period of significant financial stress for calculating SVaR

- Recalibration of scaling factors for estimation of materiality of risks-not in the VaR model

- Theoretical backtesting for the performance measurement of internal models, in particular Value-at-Risk models

You will have:

- High professional and ethical standards.

- A 'can-do' attitude and a delivery focus.

- Several years of experience in a banking or consulting environment

- A quantitative university degree

- Proficient in the English language, both written and oral.

Candidates may share your interest and drop a mail or contact 02266848563