I am working with a Management Consultancy client in Paris who is looking for a Market Risk Quant Consultant who has experience implementing FRTB.

 

They are looking for someone who can assist:

• Accompaniment in the implementation of the Fundamental Review of the Trading Book (FRTB)
• Compliance with TRIM regulations
• Recasting of IBOR interbank reference rates
• Review of Quantitative Margin Call Patterns (IMM)
• Optimization of calibration and pricing methods for exotic products via local and stochastic volatility models
• Validation of derivatives valuation models for all asset classes (including interest rates) or the validation of IFRS depreciation models 9
• Design and / or review of financial risk measurement models:  Expected Shortfall, xVA (CVA, DVA, FVA, Collateral VA), complex data IPV, IRRBB, ...

You will need to have:

• You hold a PhD or graduated from a major school with a specialization in applied mathematics in Finance, with advanced knowledge in quantitative modelling, stochastic calculus, statistics (Ecole Polytechnique, ENSAE, ENSAI, ENSIMAG, DEA El Karoui, Central Paris, Paris Mines, ENPC, Dauphine, etc.).
• Good development skills (C ++, Matlab, R, Python, VBA / Excel, ...).
• Fluent French

You can apply for this role now by sending us your CV or by calling us now!

Contact: Stuart Grimmond

Consultant – Contracts EMEA

02036752931 s.grimmond@hamlynwilliams.com