Quantitative Analysts to Counterparty Credit Risk Model Team, Nordea Copenhagen recruitment
You are a self-dependent team player with a strong quantitative background
The heart of the enhancement is our new central risk engine. Your will survey the daily production as well as maintaining and developing the risk measurement. The latter implies a fair amount of pioneer work, including development of new exposure measures and asset class modeling. The work will take place in a corporative spirit between our model team and a similar team within CMP/ Markets.
Working on the closely connected modeling part you will analyse, calibrate and validate the stochastic asset class models, which we use for the purpose of exposure calculations. In the near future we will be facing upgrades of our first generation interest rate and FX rate models and start work on the modeling of commodities, equities and credit spreads. Equally important, your working area will include our model validation framework, in which back testing is one of the cornerstones.
The job also includes estimation of counterparty credit risk in the exotic products, which cannot be run on our simulation engine. You will therefore occasionally meet short deadlines in a process that we want to improve by using a central engine to maintain and revise our current exposure measures.
Continuously improvement in a challenging working environment
We are in the core of bringing Nordea to new levels of advanced risk measurement in the midst of a dynamic and challenging working environment. This means continuously making improvements due to changes and new and higher standards within counterparty risk management while covering an ever developing portfolio of derivatives products.
Our top priority in the coming year is to meet strict requirements as set forth by EU legislation on both the measurement and the modeling side. The former includes such things as upgrading our stress testing abilities and coverage of wrong way risk as well as implementing new risk charges needed for the bank’s capital adequacy calculation.
Exciting challenges in a dynamic team
We offer you a working environment in which you can develop your professional skills further. Your closest colleagues all have strong quantitative skills and experience from a dynamic and fast growing business activity.
The ideal candidate for the job is a self-dependent team player having a strong quantitative background from e.g. physics, mathematics, statistics, bioinformatics or quantitative finance, and most likely a PhD experience with large scale risk quantification (e.g. VaR, stress tests) substantial experience in working with models of the various asset classes used for trading (interest rate curves, FX, equity, commodities, credit spread curves) knowledge and experience with financial products including exotics experience from project work experienced user of Excel, SQL and MatLab.
Please send your application with CV and other relevant documents in English no later than 23 January 2012 by using our electronic application form on nordea.com/career. Use job id 103989.
Group Market Risk Management is a division within Group Risk Management responsible for the global framework for market risk management in the Nordea Group. Currently we employ 40 people, all situated in Copenhagen, working in different fields of risk management.