Pozíció leírás

Regulatory Modeling Analyst
Leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services
Budapest
Junior/Regular
English

Regulators require that the company performs an annual stress testing exercise. The goal of this exercise is to assess the bank`s capital plan, in order to make sure that in the event of a market crisis the bank would have enough capital to cover losses. As part of stress testing, the bank calculates its loss on all positions under the given stress scenarios. This calculation is performed using front office models – sophisticated code designed to value financial contracts.

Tasks

  • Understand the firm`s front office models
  • Implement model testing in stress scenario
  • Analyze model errors
  • Implement and test model improvements
  • Write model documentation and contribute to the model certification process
  • Be open to learn about the firm`s business processes

Requirements

  • M.Sc. or B.Sc. in mathematical finance, mathematics, physics, statistics, engineering, computer science, informatics or similar quantitative area.
  • Solid knowledge of basic probability theory
  • Solid mathematical foundations
  • Genuine interest in finance, statistics and technology
  • Sensitivity to details, accuracy in everyday work
  • Confident command of English

What they offer

  • Challenging work and outstanding career development
  • Competitive compensation package
  • High standard working conditions
  • Multinational environment

How to apply

Send your CV via e-mail to hr@pearlhunt.hu

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