DESCRIPTION :
Integrating the quantitative analyst team is a huge opportunity for you to work on financial modeling and IT development:
* Financial modeling: Stochastic pricing models, XVA, VaR, SVaR, CVaR...
* IT development: C#, Python, and big data (Amazon Web Services, Dataiku)
PRICING MODEL VALIDATION
* Be in direct contact with traders and pricing model designers to understand derivatives and stochastic pricing models;
* Challenge theoretical model design and measure model risk;
* Develop in C# validated stochastic models;
* Develop in C# alternative stochastic models.
MARKET AND CREDIT RISK MODEL DESIGN
* XVA, VaR, SVaR, and CVaR model designer;
* Improve stochastic models to implement in the risk engine;
* Interact with the risk team and trading team to understand the problem and propose some theoretical and technical solutions;
* Develop and test models in Python;
* Work with the IT team for risk engine implementation;
* Develop 'ad hoc' pricing tools and prototypes used by the FO, leveraging the pricing library and potentially developing customized tools.
MODEL ONGOING MONITORING
* In a big data environment (Python + Amazon Web Services), ensure model quality over time;
* Challenge exotic parameters of pricing models;
* Design, implement, and automate pricing model quality metrics;
* Calibrate stochastic model risk under historical probability.
Code d'emploi : Analyste Financier (h/f)
Domaine professionnel actuel : Experts Financiers
Niveau de formation : Bac+5
Temps partiel / Temps plein : Plein temps
Type de contrat : Contrat à durée indéterminée (CDI)
Compétences : Amazon Web Services, Big Data, C Sharp (Langage de Programmation), Test d'Hypothèse Statistique, Python (Langage de Programmation), Analyse de Régression, Développement Logiciel Orienté Objet, Intégration de Systèmes, Validation du Modèle, Technologies Informatiques, KSRNNF3HNIEQ6SAEAWHW, Mathématiques Appliquées, Systèmes Automatisés, Marché des Matières Premières, Produits Dérivés, Finance Mathématique, Ingénierie Financière, Modélisation Financière, Sciences Physiques, Stratégie Tarifaire, Réalisation de Prototypes, Gestion de la Qualité, Analyse de Risques, Trading, Etudes et Statistiques, Séries Chronologiques, KS6IRMAHDI8F7DJI1YAD, Compétences de Modélisation, Risques de Crédit, Gestion des Risques
Téléphone :
0146351110
Type d'annonceur : Employeur direct