Quantitative Risk Analyst (m/f/d)

IN SHORT

In the role the analyst has responsibility for delivery of key projects and a mentoring role to other analysts. The team fulfils three main functions in SEFE. Firstly, the role must ensure the independent validation of relevant valuation and exposure models developed by commercial teams and used by Risk Management & Middle Office in Economic valuations, on the Balance sheet, or in Risk Models. Secondly, Quantitative Risk Models must be developed, maintained and documented as required. Lastly, support must be provided on quantitative topics to the rest of Risk Management & Middle Office as needed.

WHAT WILL YOU DO

• Maintain appropriate documentation for SEFE Risk Management models.
• Develop, test and maintain relevant Risk models and methodologies required to support the SEFE Group Risk Framework, including MVaR, CMaR, CVaR, PFE.
• Deliver independent review/validation of relevan...