Quantitative Risk Analyst bij Vye Professionals
Quantitative Risk Analyst
Your challenge
You provide high quality validations of the models to be used by the client to determine the value and risk sensitivities of financial derivatives. In your validations, you diligently check both the correctness of the proposed against your independent implementation (mostly in C++), as well as the suitability of the proposed model for the particular financial product under consideration. You make the results of your work accessible to various stakeholders within the bank, by writing clear validation reports and by providing verbal explanations.
You
You hold a degree (Master and/or PhD) in a quantitative subject (econometrics, mathematics, physics or similar).
You have a solid understanding of the mathematical concepts relevant for the pricing of derivatives, in particular of stochastic calculus.
You have at least 2 years of experience with financial derivatives in a validation and/or modelling environment.
You have programming experience in an object-oriented programming language, ideally C++.
You are able to write clear texts on quantitative topics, making such material accessible also to non-experts.
About the client
As part of the risk management for trading activities, the department Product Analysis (PA) provides our client with a validation procedure of a quantitative nature. All models for derivatives values and risk sensitivities need to be approved by PA before they can be used for official purposes by the bank. The results of a PA validation constitute an expert opinion within Risk Management and thus important information for the Risk committees of the bank and its higher management.
What's in it for you?
Our client attaches great importance to personal development. It’s why the bank gives you a lot of responsibility and scope for entrepreneurship. The essence of this approach is that you develop at the bank into the professional that you want to be. This obviously goes hand-in-hand with a good salary and excellent employee benefits. You will work with a group of people with the same drive and vision. But their backgrounds, preferences and needs are just as diverse as those of our clients. It's a way of exceeding everybody's expectations, even your own expectations.
For more information, please contact Elise Dijckmeester: elise@vyeprofessionals.nl or 020-5141409