Market Risk Modeller Quant for International Bank recruitment
My client is an international bank located in Brussels. They are looking to a Market Risk Quant Modeller to add to their large established Risk quant team.
- Market Exposure Modelling, part of Enterprise Risk Modelling, calculates
the market risk that the bank runs on its derivatives transactions.
- The software package that they are developing in this area reads the description of the portfolio of trades with a certain counterparty and calculates the exposure on that.
- The risk estimation is done by simulating the future market scenarios and evaluating the derivatives transactions in the counterparty portfolio under these scenarios.
- This software consists of a core, written in C++, and a number of plugins, written in Haskell.
- Each plugin implements either a market factor or a financial product. For example, there is a plugin that simulates the foreign exchange rate, and a plugin that calculates the price of a foreign exchange option.
They are looking for a highly capable Quant Modeller (FRENCH OR DUTCHSPEAKING) to enforce this team.
The work is challenging. They use advanced functional programming techniques that are subject of the latest scientific research.
They implement the state-of-the-art financial models and simulation techniques.
They are open-minded. No idea is going to be rejected just because it falls out of the mainstream line of thinking. Likewise, no libraries or tools are rejected only because they are not mainstream technology.
Job based in Brussels