Quantitative Methodology Specialist

Job Description

Fulfil the mission statement of RISK MFI Valuation Adjustments by taking ownership of the definition, maintenance, documentation, reference implementation, testing and release of methodologies used for Valuation adjustments covering Independent Price Verification (IPV), Fair Value Reserves, Prudent Value Adjustments among all asset classes. Contribute to maintaining the right and the related Valuation Input cartographies. The role provides a unique opportunity to join the Valuation Adjustments team within the RISK MFI organization and to be directly involved in reinforcing the governance, controls and visibility of RISK MFI on all IPV and MC processes while actively participating in strengthening the industrial features of the valuation adjustment platform. Valuation Adjustment team works within an Agile framework. Responsibilities Responsibilities of the Quantitative Methodology Specialist role Lead or contribute to the maintenance and design of existing or new methodologies based on (1) knowledge and expertise on the underlying products; and (2) proper quantitative analysis using historical data and simulation. Assess the impact of internally or externally driven updates to the methodology set and communicate with the relevant stakeholders (trading, quantitative research, risk managers, risk methodology approvers, audit, . ) before release. Perform the calibration of Valuation Adjustments methodologies at the defined frequency leveraging large data sets of market information. Continuously develop and improve a critical opinion about the data set used in the methodologies under responsibilities, exploring and integrating new sources and regularly assessing the quality of the existing set. Manage and overview the computation, validation and reporting of monthly & quarterly VAs. Analyze the monthly variations of VAs stocks from complex methodologies used for exotics products and communicate them to relevant stakeholders (Trading, Market Risk, Quantitative Research, Finance) across the relevant business lines (Credit, Rates & FX, Equities, Commodities). Represent the team in the committees related to Valuation Adjustments Lead small projects to improve the efficiency and reliability of the team processes, by developing automated solutions leveraging high industrialization standards, or integrating the methodologies under responsibility into IT platform in close collaboration with IT development and Digital teams. Technical & Behavioral Competencies - Ability to gather, prioritize and integrate large amounts of information, to process and simplify it. - Ability to systematically produce relevant documents with accurate, precise and verified information. - Ability to act in advance of a future situation, to take control and initiatives to implement relevant actions in the short and long term. - Able to identify solutions to overcome obstacles and drive results to conclusion working autonomously and implementing work processes, ideas and solutions with tenacity. - Effectively deliver and adapt complex messages according to the targeted audience - Value and integrate client's feedback to improve products, services and processes. Skills Referential - Masters degree in Finance, Applied Mathematics, Science or Engineering. Advanced degree or professional certifications like FRM or CFA are a plus. - 7 to 12 years of working experience in a relevant financial market methodology field. A previous experience in Market Risk Management is an advantage. - Good computer programming skills. Knowledge of Python is required. - Good knowledge of Financial & Risk management concepts as well as derivatives products recommended. Education Level: Master Degree or equivalent Experience Level At least 7 years