Expires soon Civiweb

QUANTITATIVE MARKET RISK M/F - VIE NEW YORK

  • Amsterdam (Montgomery County)
  • IT development

Job description



ETATS-UNIS(NEW YORK)
du01 janvier 2020au01 juillet 2021(pour18mois)
ETABLISSEMENT :SOCIETE GENERALE
REMUNERATION MENSUELLE :3559€ (indemnité non contractuelle fixée par décret et arrêté, dont le montant peut varier notamment en
fonction de l’évolution du barème de référence, de la localisation de la mission et des cas d’abattements prévus par les textes)

The VIE will work with market risk analyst in charge of monitoring and pricing of the Counterparty Risk and Market Risk of New York FO desks, mainly on the complex (exotic) products.

The VIE will participate in the daily Risk Monitoring of several desks.

The VIE will work on local and global projects.

The VIE will also support Risk Managers on ad-hoc requests.

During your VIE mission you will be in charge of these responsibilities:

Daily Risk Monitoring;
Compute Credit Value-At-Risk calculations on exotic payoffs
Help in the workflow in case of credit risk limit breaches
Participate in continuous improvement of our daily daily monitoring (automation, improving tools and pricers, work closely with risk managers and FO to define and validate risk factors)
Help document methodologies and processes
Projects
Work on new pricing methodology for the Credit Value-at-Risk of exotic payoffs
Update of Credit Value-at-Risk Indicative Level for FO for divers products
Develop new tools (e.g. tool to formalize a large quantity of correction at once, excel interface, etc.)

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Your profile

Graduate from Engineering school, Business School or University specialized majoring in Finance or Mathematics.

You are fluent in English.

Competencies

Critical thinking, analytical skills and Ability to work under pressure
Understanding & Respect with active listening, Attention to details and understanding of the information available to the Analyst to assess the risk
Innovation: Creativity, Adopt New Technologies, support changes and simplification
Commitment: Risk Awareness, Courage to express convictions, Empowerment and accountability, Self-motivated with strong work ethic
Team player: Collective and Open mindset, Synergies with my colleagues and good conflict management skills
Technical skills

Financial Mathematics & Derivatives Pricing Model
Proven technical expertise in risk modelling and exotic derivative pricing, gained through effective pricing tools development with either VBA, Excel, Python, C/C++, Matlab, SAS
Result oriented and pragmatic minded person
Adaptability
Attention to details, organizational skills

Avant de postuler, veillez à vérifier les conditions d’éligibilité pour cette destination http://www.civiweb.com/FR/le-volontariat-international/conditions-du-VIE.aspx
Le visa requis dans le cadre d’une mission VIE est en effet soumis à des conditions de formation et/ou d’expérience »

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