Model Risk Quantitative Analyst, Full-Time (f/m/d)

Position Overview

• The Model Validation & Trade Approval team is part of Market & Treasury Risk and is responsible for the independent validation, governance, and ongoing performance assessment of valuation models.
• Furthermore, the Model Validation & Trade Approval team is responsible for assessing and challenging model uncertainty and valuation risk that contribute to model risk valuation adjustments under prudent valuation regulations.

Tasks

• Integrate new initiatives into incident and structured protocols.
• A tool in the new product approval process that acts as a gatekeeper for model risk, ensuring that pricing models are robust, well understood, and subject to appropriate controls and oversight, with a thorough assessment of their conceptual soundness, implementation quality, and compliance with internal governance standards before the product is approved for launch.
• Support calculations for Additional Valuation Adjustments (AVA) resulting from model risk by conducting model performance monitoring and periodic reviews.

Requirements

• An advanced degree (Master's or Ph.D.) in quantitative finance, financial engineering, mathematics, physics, computer science, or a related quantitative discipline.
• Strong knowledge of financial products and pricing models across multiple asset classes.
• Strong programming skills, preferably in Python and Java.
• Prior experience in model validation, quantitative research, or front-office quantitative development, along with a deep understanding of model risk management.
• Knowledge of Additional Valuation Adjustments (AVA) and prudent valuation frameworks is a plus.
• A strong aptitude for analytical thinking and problem-solving, with the ability to identify material model risks and valuation uncertainty, and to formulate well-supported validation conclusions.
• Excellent communication and stakeholder management skills, with the ability to work effectively with Front Office Quants, Trading, Market Risk, Product Control, and Finance, while translating complex quantitative concepts into clear and actionable recommendations.