Description
Our client is recruiting for an experienced Risk Adviser to join them on a 6-month extendable contract basis in Amsterdam.
The team is located in Amsterdam and is looking to expand by hiring a Senior Risk Adviser in order to support the bank in qualifying to use the Internal Model Method (IMM) for derivatives.
Job description:
- Supports the documentation process necessary to get regulatory approval to use IMM.
- Support the back testing activities performed by the FI/FM Quants team by specifying the back testing criteria, the definitions of the representative counterparty portfolio's, setting up a monitoring system and defining potential (more conservative) fall back methods.
- Critically evaluate the model choices and parameter calibration methodologies in respect to the real world, like the collateral models (variation margin and initial margin) and the selection of the margin period of risk, the application of netting to trade portfolio's, the selection of the stressed period, etc.
- Support the documentation of the models (beyond the pure mathematical description), and the processes and controls around them.
- Assessment of area's where the internal risk model is not aligned with the day to day risk management and identify any issues in complying with the use -test as defined in the regulatory rules.
- Setting up a monitoring system to safeguard the alignment of the Mark-to market in the Front Office systems and those in the simulation environment.
- Setup a system to monitor the general wrong way risk in the trade portfolio (specify wrong way risk definitions, reports and the targeted audience for distribution).
- Setup a system for stress testing and scenario analysis to monitor the general wrong way risk in the trade portfolio.
- Identify current data gaps in our risk systems, or area's in which potential fails in system integrity can occur that needs to be addressed and monitor the priority and follow up given to them.
We are looking for:
- An enthusiastic academic with excellent analytical skills, extensive knowledge of financial derivatives and experience in participating in large projects. More specifically, you have or are
- A university degree (PhD or MSc) in a quantitative field (economics, econometrics, or mathematics),
- Able to read and understand technical reports provided by quantitative analyst and model documentation to a fair level of detail.
- Experience with large projects and setting up project documentation.
- Knowledge of derivatives pricing, in particular option pricing and stochastic calculus;
- Familiarity with financial markets, including recent, most important developments;
- Knowledge of regulatory rules (CRR, EMIR, etc.)
- Fluency and excellent writing skills in English.
Minimum required language knowledge (speaking+writing):
- English