Risk Officer – Risk Validation

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Voor onze opdrachtgever zijn wij op zoek naar een Risk Officer – Risk Validation (Referentie nummer 20101093)

As a Risk Officer
– Risk Validation you are part of the Risk department within Merchant Banking / Global Markets, which focuses on measurement and monitoring of credit, market and operational risk.

Main tasks and responsibilities
- Implementation, maintenance, roll-out of (new) Risk systems (i.e. new VaR risk engine).
- Validation, benchmarking, regression testing, documenting of risk initiatives related to market data, derived market data, mark-to-market/ mark-to-model.
- Validation, documenting of risk models and performing fair value, price testing.
- Performing back testing and stress testing analysis.
- Preparing Model Acceptance Group validations.
- Attend business initiatives for Risk as stakeholder
- Risk user acceptance testing of business initiatives.
- Acquiring key risk figures (eg Value-at-Risk, Back Testing, Stress Testing, position data) and reporting upon these results against the limits.
- Monitoring and analysing (changes in) key risk figures against limits and risk profile of the positions

Key words for the Equity Derivatives function are
- Sophis Risque
- Equity Derivatives instruments: futures/forwards, options, equity swaps on single stock, (quanto) baskets and indexes
- Hedging instruments for Delta hedging, Rho hedging (eg IR instruments, bond futures)
- Arbitrage strategies
- Risk measures thru position limits, historical VaR calculations, IR cashdelta, vega cash
- Assistance with Stress testing (DNB, external rating agencies)
- NEW requirement : knowledge of the product class CDS (Credit Default Swaps), as the desk wants to engage into this direction.

Your profile
- Preferably masters degree.
- Knowledge of financial markets products, related derivatives.
- Knowledge of market risks, risk models, and tools.
- Knowledge of regulatory processes/ framework (Basel II, new BIS initiatives).
- Knowledge of MS Office (Excel/ Access), VBA, other programming languages.
- Highly numerate and analytical skills.
- Good communication skills.

Algemene informatie m.b.t. de aanvraag
Locatie: Amsterdam
Startdatum: zsm
Duur: 01-11-2010
Inzet: fulltime
Tarief: maximaal € 70
Sluitingsdatum: 26 april 2010
Sluitingstijdstip: 10:00

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