EOI - Senior Quantitative Risk Analyst - FIFM
Assist with Numerix integration and XVA calculations for financial products
This opening expired 2 years ago.
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Overview
Assist with Numerix integration and XVA calculations for financial products
You have:
- Expertise in quantitative analysis and financial modeling is required.
- Experience with pricing structured products is essential.
- Proficiency in Numerix software is crucial for this role.
- Ability to conduct XVA calculations is important.
- Familiarity with risk assessment methodologies is a requirement.
Contract
This is a Consultancy contract. More about Consultancy contracts.
Consultant type: Individual Consultant
Consultant Location: Abidjan, Côte d'Ivoire
Publication date: 02-Oct-2023 Closing date: 31-Oct-2023
Job family: Finance
The main goals of this assignment are to provide assistance for our Numerix Oneview Integration with Summit project and to support our Numerix Oneview XVA calculation project. The Senior Quantitative Analyst will be responsible for pricing structured products in Numerix and conducting XVA calculations. The consultant will play a crucial role in modeling various financial structured products, including interest rate products (Zero Callable, Range Accrual, Accreting Swap, Cancellable Swap), autocallable products, PRDC (Power Reverse Dual Currency), capital protected products, and hybrid products (Basket Option, Range Accrual). The successful candidate will contribute to the overall success of the project by ensuring accurate pricing, risk assessment, and efficient results. The consultant will work under the guidance of the Division Manager.
https://www.afdb.org/sites/default/files/senior_quantitative_analyst_job_description_numerix_integration_fifm.pdf
Potential interview questions
| Describe a time you successfully priced a complex financial product. | This question evaluates your experience with pricing and quantitative analysis. | Provide a specific example, detailing your approach and the outcome. |
| How do you approach risk assessment in financial modeling? | Interviewers want to understand your process for identifying and mitigating risks. | Pro members can see the explanation. |
| What challenges have you faced when integrating software like Numerix, and how did you overcome them? | Pro members can see the explanation. | Pro members can see the explanation. |
| Can you explain a situation where your calculations directly impacted business decisions? | Pro members can see the explanation. | Pro members can see the explanation. |
| What methods do you use for XVA calculations? | Pro members can see the explanation. | Pro members can see the explanation. |
Added 2 years ago
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Updated 1 year ago
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Source:
afdb.org
