Quants Analyst
Quants Analyst
Category | Financial Analysts | Salary | 13-15 M ¥ |
Work Type | Permanent | Date | 2008-07-11 |
Location | Tokyo | Ref.# | HTO19396 |
Company Description
*Fast growing European Investment Bank is looking for a energetic quants analyst in their Market Risk division
Responsibilities
*Ensures the in house models validation : theoretical analysis, implementation analysis and validation (via Source Code analysis or independent implementation), numerical tests, alternative models testing. This validation is both theoretical (mathematicals basis of the model) and functional (booking process, parameters and calibration process)
*Ensures the identification of all issues raised by each model and provides a permanent independent analysis of IXIS models versus new market technologies and best practices.
*Provides an up-to-date documentation of all tests.
*Proposes if necessary any specific reserve calculation methodology for Model Risk and/or Parameters Risk.
*Proposes if necessary any new Market Risk Indicator.
*Provides a frequent review of all models that have already been validated by the Market Risk Department.
*Ensures, with the Risk Controllers, the definition and the update of the Market Risk Control methodologies: new risk indicators, stress test calibrations, exotic parameters calibration methods, etc…
*Provides an update documentation of all processes involved in the model validation activity.
Requirements
*Previous experience in Investment bank with Quants related role
*Good understanding of financial products (fixed income, equity derivatives)
*Experience of programming (VBA within Excel and/or C++) plus
*Good communication skills in English
*Mathmatical background highly desired
Additional Notes
Remuneration:
*15M JPY base depending on skills and experience
