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Ba Market Risk
Il y a 2 mois
**TJM 700€**:
**PARIS**:
Nous collaborons avec un partenaire, actuellement à la recherche d’un(e) professionnel(le) qualifié(e) pour rejoindre son équipe dans le cadre d’une mission.
- Le Département Market & Counterparty Risk recouvre la supervision de l’ensemble des indicateurs Risques et P&L pour les activités de Marché. L’équipe risk framework a pour mission de fournir une économétrie (données de marché spot et diffusées sur des horizons de temps divers selon des méthodologies risques) à l’ensemble des outils de risques de la Direction incluant : \- Les outils de mesure de risques de marché : VaR, stressed VaR, IRC \- Les outils de mesure de risque de contrepartie : CVA, EEPEIl s’agit ici de renforcer l’équipe afin d’améliorer les outils et le monitoring avec un focus particulier sur les commodities afin de préparer la nouvelle activité d’Options sur gaz dans le cadre du projet. La mission consiste à piloter les évolutions à mettre en place des outils pour assainir la configuration de production actuelle et réduire le risque opérationnel. Dans le cadre de la mission, il conviendra de traiter les points suivants : \- Faire un état des lieux des fichiers de paramétrage en place, \- Gérer l’alimentation quotidienne des données utilisées pour le calcul des écart-types et des corrélations entre Risk Factor, \- Etablir des Business Requirements à destination de l’IT pour gérer les cas aux bornes (Interpolation, extrapolation, données manquantes), \- Piloter les développements de régression linéaire des axes secondaires Commodities (en collaboration avec les équipes IT MatRisk et Scenarisk), \- Etudier la gestion des axes primaires fixes (pertinence, alternative). Certaines compétences sont également requises dans le cadre de cette mission : \- Expérience sur les données de marché d’au moins un asset class (Commodities en priorité) \- Connaissance des courbes de taux (types de courbes, construction, ZC) \- Autonomie \- Anglais oral et écrit \- Aisance en environnement informatique Linux/Windows \- Connaissance du R et VB dans un contexte statistique \- Aisance rédactionnelle en français et en anglais.
- Durée estimée : 6 mois
- 700
- Rythme : Temps plein (5 jours / semaine)
- Part de télétravail estimée : 2j télétravail / semaine
- Domaine principal : Finance de marché
- Secteur : Banque
- Lieu principal : Paris et région parisienne
- Démarrage idéalement le : 2024-04-07
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