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AVP, Model Risk - Treasury/Stress Testing

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AVP, Model Risk - Treasury/Stress Testing

Cvonline.hu partner
Régió: Németország
 
Hozzáadva: 2019.11.21.
Jelentkezési határidő: 2019.12.08.

Profile #1 (Stress Testing):

YOUR RESPONSIBILITIES:

  • Review & analysis of models for stressing the banks positions across a wide range of scenarios and different use cases (regulatory and internal stress testing), provide a central validation service for full revaluation methodologies for the re-pricing of trades.
  • Understand products traded in the financial markets, their associated risks and mathematical & implementation models in use.
  • Ensure Compliance with all relevant regulatory requirements.
  • Collection and processing of complex information, documentation of model and product.
  • Identification of potential for automation by analysing processes, projects and work-flows, creating tools for automation.
  • Validation testing of models and implementation in a managed Python code base.
  • Management of projects (sometimes cross divisionally or internationally) in line with your assigned tasks.
  • Build and maintain excellent, positive relationships internally as well as externally.

​YOUR PROFILE:

  • Post-grad qualification in Mathematics, Physics, Statistics, Finance (PhD beneficial, but not required).
  • 3-5 years of relevant professional experience.
  • Good knowledge of pricing models for financial products, mainly derivatives.
  • Strong mathematical background within financial mathematics, e.g. Partial Differential Equations, Numerical Algorithms, Monte-Carlo Methods, Finite Difference Methods and Stochastic Calculus.
  • Proficient use of Python (or equivalent) including experience coding in a managed code base.
  • Attention to detail, emphasis on high quality and consistency.
  • Complete fluency in English, spoken and written.

​Profile #2 (Treasury):

YOUR RESPONSIBILITIES :

  • Model Validation and Model Risk Management for all Treasury models (IRRBB, NII, EVE, liquidity and funding stress models, etc.).
  • Provide modelling guidance to model stakeholders (Risk Methodology, Risk Managers, Front Office).
  • Provide a central validation service for balance-sheet modelling and liquidity stress testing.
  • Understand products traded in the financial markets, their associated risks and mathematical & implementation models in use.
  • Ensure Compliance with all relevant regulatory requirements.
  • Collection and processing of complex information, documentation of model and product. ​​
  • Identification of potential for automation by analysing processes, projects and work-flows, creating tools for automation.
  • Validation testing of models and implementation in a managed Python code base.
  • Management of projects (sometimes cross divisionally or internationally) in line with your assigned tasks.
  • Build and maintain excellent, positive relationships internally as well as externally.

YOUR PROFILE:

  • Post-grad qualification in Mathematics, Physics, Statistics, Finance (PhD beneficial, but not required).
  • 3-5 years of relevant professional experience.
  • Understanding of the market and liquidity risks inherent to ALM.
  • Good knowledge of balance sheet modelling and its methodologies, including non-maturing deposits and behavioural options.
  • Solid knowledge of pricing models for financial products (mathematical and implementation models).
  • Strong mathematical background within financial mathematics, e.g. Partial Differential Equations, Numerical Algorithms, Monte-Carlo Methods, Finite Difference Methods and Stochastic Calculus.
  • Proficient use of Python (or equivalent) including experience coding in a managed code base.
  • Attention to detail, emphasis on high quality and consistency.
  • Complete fluency in English, spoken and written.
Helyek Németország
Kategória Bank / Biztosítás / Pénzintézet
Aktiválás időpontja 2019.11.21.
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