Quantitative Analyst (financial markets)

Engelstalige kandidaten zijn ook welkom.

Let op: freelancers moeten bereid zijn, op verzoek van de klant, voor de duur van de opdracht bij ons op de payroll te komen. Inhuur van derden is wel toegestaan.

Eisen

• Enthusiastic, open-minded academics with excellent analytical skills and a keen interest in quantitative finance and risk modeling.

• Track record of 3-5 years in a comparable position in the financial services industry and experience in working with complex finance structures;

• A university degree (PhD or MSc) in a quantitative field (econometrics, mathematics, physics or engineering)

• Knowledge of financial mathematics, in particular option pricing and stochastic calculus.

• Familiarity with financial markets, including recent, most important financial and regulatory developments

• Significant programming experience (C++, Python, …). Knowledge of quantitative software packages (Matlab, Mathematica).

• Fluency and excellent writing skills in English.

Wensen

• Excellent knowledge of equity & commodity pricing models, experience with proxy methodologies for market data and exact knowledge of FRTB are a plus.

Furthermore, you adhere to the values and it is evident for you that your behaviour is fully aligned with these values. You are also prepared to take the Banker's Oath. For more information, please visit

Opdracht

klant is looking for an experienced, hands-on quantitative analyst (temporarily) for the validation of pricing models used in the area of equity and commodity derivatives.

Job description
Perform validations of pricing models within the FR – FIFM Quants department. Main focus is on equity & commodity derivatives, and to a lesser extent on fixed income & foreign exchange derivatives. Validation of greeks is an integral part of each pricing model validation. Act as a specialist for the validation of market data transformations in the area of equity and commodity derivatives (construction of volatility surfaces, bootstrapping algorithms,…). Perform technical implementation checks regarding risk models (VaR, Expected shortfall, sensitivity based risk calculations). Co-operate with counterpart quantitative analysts who develop the pricing models validated by the FIFM Quants. Develop benchmark models, maintain tools, programming libraries and test environments that are set up to support the model validation process and the risk methods in the trading risk systems. Write validation reports providing a quantitative assessment and documentation of the tests performed.

Your work environment
The vacancy is located within the Financial Risk Model Development – FIFM Quants group. FIFM Quants is a team with quantitative expertise required to model and risk manage complex derivatives. It provides support to the FI/FM (Financial Institutions and Financial Markets) Risk organization which combines responsibilities of the counterparty credit risk and the market risk trading departments for the FI/FM portfolio.

The FIFM Quants are part of the the Financial Risk Model Development department, a team of 40-50 professionals which combines the modelling of a variety of risk models (regulatory credit risk models, Balance sheet risk models, Non-Financial Risk models, financial market risk models, non-regulatory retail models, bank wide risk models).

The main tasks of the FIFM Quants team are in the area of pricing model validation, risk modelling and methodologies, and quantitative development.

Contactpersoon voor deze aanvraag is Kees van Leeuwen.