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Market Risk Quant Consultant

  • Location


  • Sector:

    Financial Services and Banking

  • Job type:


  • Contact:

    Stuart Grimmond

  • Contact email:

  • Salary high:


  • Salary low:


  • Published:

    about 1 year ago

  • Expiry date:


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