Market Risk Quant Consultant
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Location
Paris
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Sector:
Financial Services and Banking, Banking & Front Office, Quants, Financial Services & Corporate Governance, Audit & Finance, Risk, Compliance & Financial Crime
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Job type:
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Contact:
Stuart Grimmond
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Contact email:
s.grimmond@hamlynwilliams.com
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Salary high:
0
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Salary low:
0
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Published:
19 days ago
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Expiry date:
2019-12-19
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