Senior Quant Developer Counterparty Credit Risk

• Company

  Eames Consulting Group Swiss AG

• Location

  Denmark-Copenhagen

• Remuneration

  attractive

• Position Type

  Permanent

• Employment type

  Full time

• Updated

  03-Oct-2013

• eFC Ref no

  1269062

• 
  

My client a major international organization is looking to hire a senior quantitative developer in the area of counterparty credit risk

Areas of responsibility and key tasks:

• Obtaining FSA approval to use an internal counterparty credit risk model for solvency reporting.
• Supporting business initiatives within the central clearing space.
• Improving the risk modelling setup for the PFE and eEPE calculation in cooperation with the business areas.
• Implementing a model for calculating CVA risk charge

Criteria of success:

• Is able to communicate effectively with internal stakeholders.
• Delivers the agreed contribution on time and with high qual­ity in the project work.
• Achieves natural respect and trust from colleagues and the rest of the organisation in the role as Senior Quant Developer.

CANDIDATE PROFILE


The ideal candidate for this position should match the following criteria:

Educational background:

Excellent quantitative academia (Computer Science, Math, Physics, Statistics or Engineering), ideally a PhD. degree.

Language:

Excellent written and spoken English is required.
Ideal experience:

Two or more years of experience working with VaR and/or EPE/PFE models.

Two or more years of experience working with programming, including database modelling. Preferred programming experience in Perl.

Solid understanding of traded products and risk management practices is regarded as a prerequisite for being able to work as Senior Quant Developer in Danske Bank.

Experience working with risk management models and programming tools.

If the candidate has an understanding of other development languages such as C# or PL/I, this will be considered an advantage.

In case the candidate possesses knowledge of Basel II/III regulations it will be considered an advantage, but it is not mandatory.


Personal and leadership competencies:

Communication
Communicates central issues in a discussion and/or com­plex issues in a clear, fluent and precise manner, is able to keep the recipients' attention, attentive to the needs of oth­ers when he/she speaks. Produces written material and presentations which are clear, fluent, precise and easy to understand for the recipi­ents.

Analysis
Divides problems into relevant parts; differentiates be­tween key areas and irrelevant or less important areas; has a logical mind-set; makes sensible deci­sions on the basis of available information; is able to get an overview of a spe­cific situation and at the same time work detailed with a problem; uses details to gain an overview of a situation.

Structure
Works systematically; organises work and effort; is me­thodical in one's performance; holds on to com­menced tasks and projects.

Quality-minded
Is concerned with reaching and maintaining quality; sets high standards for performance and execution – for one self and for others.

Personal relations
Is able to establish and maintain relations with people, makes people feel at ease. Achieves agreement by dealing with disagreements and potential conflicts with diplomatic skills. Develops and maintains networks.

Work capacity
Has a high energy-level, works determinedly and effi­ciently, gets a lot of things done without compromising quality, is industrious and persistent.

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