Data Scientist
Junior Economic Scenario Generation Expert
Budapest
Apply on the employer's siteRole description
We are looking for You!
Your Future Company
NN RAS
(Risk and Actuarial Services) is a Centre of Excellence for NN Group, focusing on top quality and efficient solutions. We serve as an internal centre of consultancy, quantitative model development, automation and innovation. We support numerous departments at NN Head Office in the Hague (the Netherlands) and NN subsidiaries all over Europe.
Now we are hiring to extend our
Economic Scenario Generation
team with a
Junior Economic Scenario Generation Expert
to contribute at the further improvement of the NN Risk systems.
What We Are Looking For
We are definitely looking for you, if you recognize yourself in the following lines:
đžUniversity degree in Financial Mathematics, Actuarial Sciences, Econometrics, Physics or related discipline
đžAffinity with mathematical modelling. Ideally, practical knowledge of financial derivatives, including the techniques to price them
đžAttention to detail, good analytical and communication skills in English, both oral and written
đžPractical and pro-active hands-on approach - you can combine rigorous mathematical thinking with a practical business flavour
đžProgramming experience in Python and/or VBA is an advantage
Your Main Responsibilities Will Include
đžPerform calibration of stochastic financial mathematical models of interest rates, equities, and FX rates, using current market data like swap prices, swaption volatility surfaces, equity indices, and FX rates
đžGenerate interest rate curves and risk-neutral economic scenario sets for regulatory purposes (Solvency II, replicating portfolio for NN Groupâs SCR internal model, movement analysis and market-consistent valuations under IFRS 17)
đžCalculate illiquidity premia (ILP) for market-consistent valuations under IFRS 17
đžCreate non-standard risk-neutral and real-world scenario sets for pricing, ALM, ORSA and other regulatory purposes
đžMaintain and enhance internal processes and end-user developed applications
đžSupport the maintenance and development of the applied financial mathematical models
đžConsult with users and stakeholders, including Business Units and Head Office of NN Group
What Else We Can Offer
đžOpportunity to work from home and the office as well, based on your choice
đžFlexible working hours
đžChallenging projects within an exciting international, yet familiar work environment
đžCompetitive compensation package
đžPlenty of opportunities to develop yourself: skills and personal development are high priorities at #NN RAS
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