Quantitative Risk Manager

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Анастасия Шевченко

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Quantitative Risk Manager

The Quantitative Risk Manager joins a department of 25 members that is responsible for Microfinance Credit trading and optimization. The primary responsibility of this role is to research, speck, help implementing and operate a framework for the quantification of model and market risk in microfinance. The suitable candidate must be results-oriented, self-motivated and have the ability to thrive in dynamic and fast-pace environments. The role requires close interaction with Credit Traders, Data Scientists, Machine Learning Engineers and Data Architects.

Responsibilities:

  • Creation and implementation of a framework for the quantification of model and market risk in microfinance
  • Measure and quantify credit exposure in a portfolio of millions of short-term loans
  • Review and validate existing and new credit risk models to establish their accuracy and suitability
  • Summarize risk measures and exposure estimated in automated reports and dashboards
  • Provide expert support and guidance to all risk stakeholders on risk taking
  • Design and develop testing strategies to back test and stress test models and to validate on-going performance of default and risk calculation models
  • Provide detailed analysis and documentation of methods, techniques, and findings
  • Engage in innovative research tasks for credit risk quantification
  • Research potential ways of enhancing current risk quantification methods and models, or new models/methodologies that could be implemented
Requirements
  • Masters or PhD in a numerate subject
  • Minimum 5 years of direct experience on quantifying risk, developing and enhancing financial and credit models
  • Minimum 5 years of experience using Python, R or MATLAB
  • Minimum 5 years of experience using and retrieving data from structured and unstructured datasets
  • Experience analyzing large data sets using python, R, or other well-known modeling languages
  • Strong understanding of statistical estimation, factor modeling, time-series analysis, and related topics
  • Advanced understanding of market and credit risk quantification methods
  • Advanced understanding of statistical estimation, factor modeling, time-series analysis and related topics
  • Experienced managing and developing a team of quantitative risk analysts
  • Excellent analytical skills, evidence of statistical/machine learning models and algorithms development
Key Competences:
  • Excellent ability to work under pressure, formulate and articulate solutions and defend assumptions
  • Excellent interpersonal, analytical, verbal and written communication skills
  • Excellent ability to communicate technical ideas to colleagues outside the domain
  • Excellent analytical and organizational skills with acute attention to details

Benefits
  • Collaborative culture
  • Challenging work environment
  • Comprehensive private healthcare insurance
  • Company phone and laptop
The office is located in Greece (position with relocation to Greece)

Город:

Вид занятости: полная занятость,

Требования: от 5 лет

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