We are looking for a Risk Capability Analytics Manager for our client – an international company with office in Sofia, Bulgaria
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Responsibilities:
- Researching, developing and implementing
models that will replace IBOR. This a very large, challenging undertaking
that will require strong analytical and quantitative skills.
- Identify and implement code changes to support Libor cessation or other
market and counterparty risk changes
- Test and assess the impact of these changes
- Work with traders, risk and other interested parties to explain the impacts
of these changes
- Management of related technology & operations impacts to business.
Requirements:
- Minimum of 5 – 8 years relevant experience
in a global banking or consulting environment
- Post-graduate education (PhD or MSc) in a highly quantitative subject
- Strong product knowledge on rates, products (linear, flow, vanilla and
options, exotics), knowledge of other asset classes is a plus (ie Inflation,
FX, or Credit)
- Strong analytical and numerical skills, including practical knowledge of
stochastic calculus, PDEs and Monte Carlo
- Strong practical experience in C++ or Python and appreciation of the architecture
of quant libraries.
- Strong background of financial math
- Strong knowledge of C++ and python
- Financial markets product knowledge (Essential – FI/Rates/FX etc.)
- Understanding of LIBOR, Market Risk and Counterparty Risk
Offer:
- Challenging opportunity to grow in a company
built on value and trust
- Standard working time from Monday to Friday
- A bright, modern and exciting place to work,
with excellent staff facilities
- Training programs and certifications offered
by the company
- Voluntary Medical plan and life insurance
- Transportation allowance
- Discounts
- Team buildings & events
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