Quantitative Risk Manager
vor 2 Monaten
**About the team**
Become part of our Financial Risk Management (FRM) function We are responsible for model validation tasks for financial market products and internal risk capital.
Our Financial Model Validation and Methodologies team, based in London, Zurich and Bangalore, is responsible for ensuring that each material model or tool used to determine valuation or risk characteristics of financial instruments is based on sound mathematical and economic concepts, and has been implemented correctly, and produces accurate results.
The team also works to develop and maintain the risk methodologies used by FRM to examine risk, and works closely with IT provide robust, fit for purpose IT platforms to enable FRM’s work.
**Your Main Responsibilities**:
- Work on model validation tasks for derivative and security products valuation and risk methodology, covering various asset classes which include fixed income, equity, credit derivatives, insurance-linked derivative, and commodities.
- Review market risk aggregation methodologies such as VaR and Stress and credit risk measures. Participate in reviews of the financial modules of the internal risk capital model.
- Review financial risk representation in insurance products.
- Model validation tasks require critical analysis of product and modelling technique, model testing (including independent implementation of the model), alternative model analysis, documentation and communication of results and conclusions. Follow up on identified issues, ensure resolution or containment.
- Produce documentation summarising validation of the model in question, quantify model risk.
**About you**
- Strong academic background with a master's degree or equivalent in a quantitative discipline. A qualification in mathematical finance is preferred. CQF/FRM/CFA is a plus
- 3+ years of experience in a modelling or model validation capacity with exposure to financial markets, preferably across asset classes. Management experience is a plus.
- Actuarial qualifications or professional experience in the field of insurance are welcome.
- Excellent written communication skills.
- Self-starter with knowledge of capital markets modelling, and experience in quantitative finance or financial model validation.
- Advanced quantitative skills with the ability and drive to examine evolving systems and methodologies with imperfect documentation.
- Ability and interest in learning new systems and software environments, as required by model validation projects.
- Good programming experience to allow independent model replication and automation of model tests to increase productivity. We commonly use R, Python, DAX.
- Ability to work with and analyse large complex datasets.
LI-Hybrid
**About Swiss Re**
Swiss Re is one of the world’s leading providers of reinsurance, insurance and other forms of insurance-based risk transfer, working to make the world more resilient. We anticipate and manage a wide variety of risks, from natural catastrophes and climate change to cybercrime. Combining experience with creative thinking and cutting-edge expertise, we create new opportunities and solutions for our clients. This is possible thanks to the collaboration of more than 14,000 employees across the world.
Our success depends on our ability to build an inclusive culture encouraging fresh perspectives and innovative thinking. We embrace a workplace where everyone has equal opportunities to thrive and develop professionally regardless of their age, gender, race, ethnicity, gender identity and/or expression, sexual orientation, physical or mental ability, skillset, thought or other characteristics. In our inclusive and flexible environment everyone can bring their authentic selves to work.
**Keywords**:
**Reference Code**:123657
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