Junior Risk PhD Quant

Apart from sophisticated technical skills evidenced by a PhD (MSc are considered in exceptional cases) in a quantitative area (Mathematics, Statistics, Finance, Econometrics, Physics, Engineering) hands-on knowledge of modelling with actual data is required. A (non-exhaustive) list of tasks, indicative
for the work of the group, is given below:

 

? Refinement of the EC methodology in this Bank'sfocusing on factor models, Monte Carlo simulations, variance reduction techniques
? Calibration and validation of input parameters used in Regulatory & Economic Capital calculations
? Development in numerically efficient evaluation techniques for derivative portfolio modelling
? Specification, prototyping, testing and quality assurance of the software tools for pricing, planning and performance measurement
? Analytical support of portfolio management units in the risk assessment of sub-portfolios and portfolio securitizations including customized data analysis
? Documentation of all of the above and communication with all internal counterparties
? Roll-out management
? User training and support
MSc, PhD


 

Please send a Word CV to Tina Kaul at