Market Risk/ALM Consultant

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Finalyse Group

You participate to engagements of our Risk Advisory practice for our banking clients in the development/deployment area of risk management solutions (covering more specifically market risk, liquidity risk & interest rate risk);
You participate to or lead engagements of our Risk Advisory practice in the quantitative area (market risk model development and especially the one related to interest rate risk and behavioural modelling) for our banking clients;
More precisely, you will work on projects aiming at analyzing, developing, building, testing and managing applications which are used to support risk management calculations, models and reports;
You also participate to model validation assignments and provide our clients with adequate recommendations to improve their models and related processes;
Your role will cover a wide range of responsibilities such as conducting workshops with business users, gathering business requirements, defining both functional & technical requirements.

Participate in business development initiatives or internal projects;
Raise and market the Finalyse image in the financial industry through publications in our Regbrief, participate in external conferences or networking events.

Master’s Degree in econometrics, physics, mathematics, engineering or applied economics with an academic track record in a quantitative field;
At least 4 years of experience in Financial Services in the banking sector;
Affinity with banking products: retail and non-retail;
First hands-on experience in the following areas: model development or model validation, valuation models for financial instruments etc.;
Relevant regulatory knowledge (Basel III, CCR, FRTB, IRRBB…);
You are at ease with scenario & sensitivity analysis (EVE & NII risk metrics) and valuation methodologies;
Quantitative and programming skills (SAS, R or Python) are required;
Knowledge of ALM and market risk related regulations is a must: CCR (SA-CCR etc.), IRRBB, FRTB;
Good command of specific packages like Matlab or VBA;
Ability to work autonomously in a result-oriented environment;
Very good communication, writing and presentation skills in English;
Readiness to travel throughout Europe and in the Middle East.