Market Risk Quantitative Analyst

NL  ‐ Onsite
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Description

Looking for a Front Office Market Risk Quantitative Analyst to join one of the leading banks in The Netherlands. You will be the expert, where you advice management on trends in the market and risk management. You will develop, test and implement market risk quantitative models in the area of FX, Rates & ECC, Equity Derivatives & Credit and Securities Financing, and the IT systems that support them. You will integrate your models with systems like Sophis, Murex, Spring and Goldfish. You will be working together with traders in Amsterdam, NY, London and Frankfurt.

Skills required:
*Model Development and improvement of models based on complex theories and methods drawn from Mathematics and statistics
*Testing and interpretation of model output
*Sparring partner for the management in developing the department's annual plan.
*Being a point of contact for other departments
*Implementation and programming in C++/VBA
*Knowledge of Risk and Treasury management and developments in Money- and Capital Markets.
*Deliver, based on Market data requirements database(s), reports, communication tools and Market Data Services to be used by Trading and Sales

Required level and content of education:
*Knowledge of mathematics and statistics at University Graduate level. Minimally a Master's degree in Mathematics, Physics, Econometric, Aviation Technology or similar degrees;
*Knowledge of option valuation models and financial mathematics;
*Knowledge of programming languages preferably C++/C and VBA.

Start date
ASAP
Duration
12 months +
(extension possible)
From
Levy Associates Ltd
Published at
06.08.2015
Project ID:
960370
Contract type
Freelance
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