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Senior Quantative Risk Analyst

    Job Details

  • Contract type:full-time
  • Published on: 23/11/2011 14:33
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Interested in this job? Apply for it directly or give us a call if you have any questions. 
You can reach us at +31(0) 642 619 177
On behalf of our client, a leading bank based in the Amsterdam region we are looking for a:

Senior Quantative Risk Analyst

The job:
Validation of derivative pricing comes from the requirement to have correct booked value of products in the portfolio and to have consistent pricing of portfolios for Risk Measurement. This work requires a solid view about the theory of derivatives price modelling.
It involves interaction with Front Office model developers, traders, Market Risk managers and Trading Risk Modellers. The results will be presented to the higher
management.

The work environment:
Product Analysis Team provides the bank with a validation procedure of a quantitative nature, focusing on derivatives valuation. All models, internal and external, which are used in determining the price of the official P & L or in the calculation of risk management official figures must first be approved by PA.
Mathematical assumptions behind the model, the accuracy and completeness of the implementation is examined before a model can be used for trading purposes

Your background:
You hold a degree (Master and/or PhD) in a quantitative discipline (mathematics, physics, econometrics or similar). You have at least one year of professional experience with financial derivatives, in particular with pricing models, either from model validation (risk management) or development (e.g. front office). You have good communication skills and are able to explain quantitative ideas also to people without a quantitative background. You have a good command of English, both oral and in writing.

If you are interested in this opportunity and would like to further discuss the role on a confidential basis, please feel free to call Patrick Bluekens at, +31 642 619 177 or leave us your CV and we will contact you within 24 hours.

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