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Quantitative Analyst (Trading Book Models)

  • Location:

    Amsterdam

  • Sector:

    Risk & Compliance

  • Job type:

    Permanent

  • Salary:

    €60000 - €100000 per jaar

  • Contact:

    Bonanza Tan

  • Contact email:

    Bonanza.Tan@oliverjames.com

  • Job ref:

    JOB-022023-195790_1675690038

  • Published:

    about 1 year ago

  • Expiry date:

    2023-03-08

Quantitative Analyst (Trading Book Models)


This is where you will work

Our client is looking for a Quantitative Analyst for the Risk Trading Quant Team in the Integrated Risk Model Development department. They are an energetic international team of highly qualified professionals. Their area of expertise is Trading pricing models, Market risk and Counterparty credit risk in the Trading book. They are part of the Integrated Risk Model Development department, which comprises of a large team of modelling experts: Trading Risk, Credit Risk and Market Risk in IRRBB and Balance Sheet Risk models, with state-of-the-art modelling methods, tooling, and data processing technologies. The position offers excellent opportunities to excel in what you do and to broaden your modelling and coding skills, as well as exposure to a dynamic and agile international working environment

This are your responsibilities

The team activities are quite varied - see below some of the main ones:

  • Develop the calculation methodologies for valuation adjustment models that account for the model risk uncertainty;
  • Develop Trading Risk methodologies, such as Incremental Risk Charge (IRC/DRC), VaR scenarios specifications, Risk not in model (e.g., for IRC and VaR models), Stress test;
  • Develop Counterparty Credit risk models;
  • Design model monitoring methodologies;
  • Perform the production system implementation checks by comparing to your own benchmark implementation;
  • Provide quantitative support to risk managers and traders (in the risk modelling context), to the integration of the new products/pricing models in the existing risk frameworks, development of tools to provide insight into model choices, analysis of the methodologies used for P&L explainer or market data proxies.

This is you

  • A PhD or a MSc in a quantitative field, e.g., mathematics, physics, statistics or econometrics
  • 3 to 7 years ofQuant experience in the following areas:
    • Market Risk models and/or Counterparty Credit Risk models and the implementation of such models in Python or C++;
    • Derivatives pricing in at least one of the following asset classes:
      • Interest Rate& Inflation,FX, Credit Equity, Commodities orXVA
        • including model implementation in Python or C++;
      • Familiarity with the most important regulatory developments (e.g. CRR Market Risk framework for the Trading Book, FRTB, Prudent Valuation framework, etc);
      • Strong communication skills and fluency in English
      • Constructive attitude and pro-active team player.

This is what you can expect

  • A custom made salary package that can get up to €100K (depending on relevant knowledge and/or experience)
  • A 13th month and holiday allowance
    • If you are living abroad there will be a relocation package
  • An excellent pension scheme
  • Various growth opportunities
  • An interesting study budget
  • Possibility to work hybrid
    • Flexible working hours
  • Possibility to work one month remotely (in agreement with management)

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We are Oliver James

We received an average rating of 9.1 from feedback by our clients and candidates.

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