Senior Data Scientist implementing and documenting methodologies for market risk metrics in finance. Collaborating closely with middle office, data validation teams, and stakeholders.
Responsibilities
Be responsible for updating and ensuring the quality of the methodological documentation for derivatives and market risk models.
Update quantification methodologies for risk metrics (VaR, stress tests) and regulatory frameworks (FRTB, SIMM, ICAAP).
Supervise and validate the review of model inputs and components, and arbitrate methodological issues.
Be accountable for implementing complex new products in risk systems (Murex, MSCI RiskMetrics, FIS Adaptiv).
Lead workshops, develop a framework for model needs and ensure alignment between stakeholders.
Define and promote strategic directions for risk modelling and ensure continuous improvement.
Requirements
Bachelor’s degree in finance, financial engineering or a related field
A minimum of eight years of relevant experience, ideally in a market risk management or financial market environment, including experience working with a middle office, modelling team or model validation team
Experience with at least one risk system, such as Murex, MSCI RiskMetrics or FIS Adaptiv
Knowledge of French is required
Advanced proficiency of English due to the nature of the duties or work tools or because the position involves interactions with English-speaking partners, members and/or clients
Advanced Excel skills
Practical knowledge of programming languages such as Python, SQL and other relevant languages
Benefits
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
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