Equities Market risk Strats, Associate, Paris
Core
Design, implement, and maintain quantitative models for market risk and capital metrics (Value-at-Risk, Stress Tests, Capital) for The Core divisions.
Role type
Associate quantitative modeler (market risk)
Builds
Production-quality market risk models and capital models
Domain
Financial services / Market Risk
Deliverable
production ML models
Required skills
Quantitative modeling, Statistics, Time series analysis, Econometric modeling, Probability theory, Programming (Java/C++/Python), Pricing models development
Responsibilities
Develop and maintain robust market risk models (VaR, stress tests), Implement and productionize models with testing, Perform pricing and risk/capital impact analyses, Interact with risk managers and stakeholders to explain model results
