about 1 year ago
- 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