About the role

Data Scientist improving risk management and market risk for OTC derivatives trading desk. Collaborating with stakeholders to implement strategies and enhance analytical models.

Responsibilities

Help develop and maintain counterparty risk models (PFE, XVA, SA-CCR, etc.) and market risk models (VaR, stress tests, etc.)
Interact with the desks to review and improve model calculation parameters
Model financial products and evaluate pricing
Develop and analyze sensitivity metrics (Greeks)
Help develop and maintain the Adaptiv application and other IT tools used to monitor, model and manage interest rate risks
Collaborate with the capital team on regulatory CVA (BA-CVA, SA-CVA) and market risk capital (SA-FRTB)
Ensure ongoing compliance with regulatory requirements and governance documents for managing counterparty and issuer risk and for managing market risk
Monitor market developments and best practices for counterparty and market risk
Take part in continuous monitoring of compliance with AMF regulations for deposit-taking institutions
Contribute to internal and external risk reporting
Contribute to governance documents on counterparty, issuer and market risk
Participate in daily and monthly production by managing a large amount of data, as needed
Work with the internal analytics community to help it fulfill your role as a hub of data science expertise

Bachelor's degree in a related field
A minimum of six years of relevant experience in financial risk management and data modelling for the finance sector
Experience with Adaptiv Credit Risk and Adaptiv Analytics
Experience in counterparty risk, market risk and market activity monitoring (middle office), including knowledge of XVA, PFE models, P&L attribution, sensitivity metrics (Greeks), value at risk (VaR) and stress tests
Experience with market risk / market activity monitoring software solutions
Experience in programming and analysis with Python, VBA and SQL
CFA, FRM or PRM certification underway or completed (preferred)
Knowledge of French is required
Proficiency in MS Office suite, mainly Excel
In-depth knowledge of financial derivatives and how they’re modelled
Knowledge of financial markets and derivatives
Knowledge of Basel regulations

Competitive salary and annual bonus
4 weeks of flexible vacation starting in the first year
Defined benefit pension plan that provides predictable, stable income throughout retirement
Group insurance including telemedicine
Reimbursement of health and wellness expenses and telework equipment