Contract – Forefront of Quantitative Risk Analytics – Exposure Analytics recruitment
Ideally you will be proficient in C++, and/or in VBA or RAD. Your experience should already be in derivatives pricing or risk (market or counterparty credit). You must also have a proven understanding of statistics.An ability to work independently, be up and running quickly and work to tight deadlines while maintaining a high quality in the deliverables is also essential.You will join a strong team within the Quant Analytics Group, and this will give you the opportunity to extend your skillset in several directions. Another advantage of the positions is the exposure to the Basel III environment Read more […]
Quantitative Analyst -Exposure Analytics recruitment
Main Function The Basel III back testing project is driven by Basel III reforms that require the firm to extend the back testing of IMM approved models. The supervisory authority will specify a number of qualitative criteria that banks would have to meet before they are permitted to use a models-based approach to be able to keep. This calculation is required in addition to EEPE calculated using parameters calibrated to the current period.The primary focus of the position involves working on the methodology developments for back testing that will be necessary based on Basel 3 requirementsMain Read more […]