Senior Finance & Quantitative Specialist

## Senior Finance & Quantitative Specialist
For a bank I'm recruiting for an interim Finance & Quantitative Specialist with experience in IFRS 9 and Credit Valuation Adjustments (CVA) and SQL.
For a bank I’m recruiting for an interim Senior Finance & Quantitative Specialist with experience in IFRS 9 and Credit Valuation Adjustments (CVA) and SQL.
The current specialist is moving to another department.

• Annual review of valuation parameters and models (CVA and valuation)
• Analysis and support for processing complex financial transactions (porting, compressive, lvl 3, and impact on hedge accounting) and the setup of multicurve (including ESTR) portfolio hedge accounting
• Quarterly revaluation, including recalibration of specific correlations / aligning S&P valuation and reviewing initial valuation proposals
• Interest rate transition project:
• Converting TRY/SEK/CAD for hedge accounting
• Numerix project:
• Automating level 2 valuation (Fully utilizing Numerix potential)
• Setup of valuation for Numerix and Prime (Cleaning Prime on valuation settings)
• Setup of collateral & margin process project
• Stakeholder management with Risk & Treasury
• Maintenance of market data (vendors, contract negotiation, interfacing with Markit, Screen Consulting, Bloomberg, Refinitiv)
• Maintenance of volatility landscapes, CVA scenarios, and sensitivities in Numerix and Prime for delta (bucketing, triangle or rectangle, vega, and theta)

You are successful in this role when if the documentation is improved, but also if you can fully comprehend the transaction and hedge processing, including the effect on realization of the new portfolio hedge system.
The Reporting Valuation team is part of the Finance & Control department. Senior Finance Specialist will work closely with the Treasury and Risk department.

• Education: CFA, (Quantitative) Finance or Economics, Econometrics and/or Accountancy
• Industry: Banking & Financial Services
• Knowledge or experience: IFRS 9, CVA, lvl 2 and 3 valuation, Bloomberg, Numerics (nice-to-have)
• Personal skills: curiosity, flexibility and ability to adapt quickly

The bank has a hybrid-way-of-working and you can work 50% remote. Furthermore, 15% of your tasks are managerial.

• 6 months + possible extension