Description
We require 4 Quantitative Risk analysts to join our QIS/FINMA project to develop new exposure based and Stressed risk models.
Project overview:
At this client VAR models are being replaced with an exposure based model - QIS, Trading Book, covers the revised treatment for certain equity exposures under the standardised measurement method, the stressed value-at-risk capital charge and the capital charge for incremental risk in the trading book. Changes apply to both institutions using the SA measurement method - Equity Exposures institutions using VaR. Applicants should have at least 2 years of proven modelling of stochastic risk in an IB environment in ideally a Market and traded credit risk environment.
Sucessful consultants should have the following skills:
Stressed Risk Modelling Stochastic's/econometric's experience Risk - Market/Credit strong financial Mathematical educational background