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

• 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

• 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

• Collaborative culture
• Challenging work environment
• Comprehensive private healthcare insurance
• Company phone and laptop

The office is located in Greece (position with relocation to Greece)