Senior Quantitative Risk Analyst

Consulting company with expertise in banking, new technologies and artificial intelligence.
On our consulting activity: We therefore operate transversally in different sectors of activity (Banking, Insurance, Biotech, Fintech, Regtech, etc.)
On our activity linked to artificial intelligence: Our objective is to facilitate the technological transition for our clients while maintaining their traditional activities thanks to our AI activity.

Based in Paris.

You’ll join the consulting firm to be engaged with one of the major Banks in BENELUX.

• Interview process that respects people and their time
• Professional and open IT community
• Internal meet-ups and resources for knowledge sharing
• Time for recovery and relaxation
• Bright online and offline events
• Opportunity to become part of our internal volunteer community
• vacancy.benefit7

• Design and propose new methodologies, and/or improve those that already exist
• Evaluate the impacts of the proposed developments
• Support the implementation of different methodologies and the life cycle of models
• Provide quantitative support within the risk department on market issues
• You participate in the development of the Economic Capital calculation framework
• You are also involved in the design and improvement of risk measurement models such as VaR, Stressed VaR, ES, IPV (Independent Price Verification), market reserves and the adjustments required within the framework of Prudent Valuation and other market risk models
• Interaction with the regulator
• With higher education, you have at least 5 years of experience in quant risk, front office or validation functions

• Little programming
• Good mastery of the rules for calculating economic capital

Skills:

• Financial mathematics and the main financial instruments
• The main risk measures
• Statistical models and data processing techniques
• Knowledge of Python is a plus

You have excellent interpersonal skills, very good listening skills, you are:

• Autonomous and organized
• Strength of proposal
• Motivated by teamwork

Context:

• The calculation of economic capital for market risk under Basel III, which is incorporated in the European Union’s CRR (Capital Requirements Regulation) and the CRD (Capital Requirements Directive), is a measure of the amount of capital a bank must maintain to cover potential risks associated with its trading and market activities.

For market risk, economic capital is generally calculated using one of two main approaches:

• The Standardized Approach (SA)
  The Internal Models Approach (IMA):
  Value-at-Risk (VaR): Calculation of VaR at a given time horizon and at a specific confidence level
• Stressed Value-at-Risk (sVaR):VaR calculated over a period of historical stress
• Expected Shortfall (ES) Expected loss beyond VaR at a given confidence level
• Incremental Default Risk (IDR): Assessment of credit risk for trading positions
• Counterparty credit risk (Credit Valuation Adjustment – CVA): Calculation of the risk of deterioration in the credit quality of counterparties
• The capital charge for counterparty credit risk (CCR): for counterparty trading exposures, such as derivatives or securities financing.
• Regulatory capital: Regulatory capital is defined by the regulator and corresponds to the minimum capital required by the banking commission. The methods for calculating regulatory capital are set out in the Basel II directives. They are based, in IRBA, on two main data: the probability of default of the counterparty at risk, and the loss in the event of default of this counterparty.
• Economic capital: Economic capital corresponds to the equity capital necessary to cover a maximum potential loss for a confidence threshold fixed over a given horizon (carrying out scenarios which establish the losses realized on the bank’s assets.
  Internal capital: It corresponds to the own funds necessary to cover all the risks identified by a bank. Its calculation is based on the methods developed by each establishment to take into account their specificities. It is supervised by the ICAAP. It must describe the calculation and stress test procedures for the various risks of a financial institution. (Credit risk, Market risk, Operational risk, Liquidity risk, Concentration risk, Residual risk, Securization risk, Business risk, Structural interest rate risk)