Senior Quantitative Risk Analyst

Job description

As a senior quantitative risk analyst, you will be responsible for delivering important project goals, coaching junior colleagues and continuously improving our models. You will work in close collaboration with their stakeholders to maximize the impact of their models.

As a senior quantitative risk analyst you will lead one or more projects. Examples of projects are:

• Modelling operational losses for our advanced measurement approach (AMA) model for operational risk. Key modelling techniques: extreme value theory and copulas.

• Modelling transition probabilities between credit states for IFRS9 and stress testing. Key modelling techniques: times series analysis, Bayesian inference and optimization techniques.

Requirements

• Strong quantitative education

• Experienced/proficiency in programming languages suited for model building and data analysis, such as Python, Matlab and/or SAS?

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