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

Tasks

• Participate in the new product approval process, acting as a gatekeeper for model risk to ensure that valuation models are robust, well understood, and subject to appropriate controls and monitoring, with a thorough assessment of their conceptual soundness, quality of implementation, and compliance with internal governance standards before the product is approved for launch
• Supporting the calculation of additional valuation adjustments (AVA) resulting from model risk by conducting model performance monitoring and periodic reviews

Requirements

• Advanced degree (Master's or Ph.D.) in Quantitative Finance, Financial Engineering, Mathematics, Physics, Computer Science, or a related quantitative field
• Comprehensive knowledge of financial products and valuation models across multiple asset classes
• Strong programming skills, preferably in Python and Java
• Previous experience in model validation, quantitative research, or front-office quantitative development, 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 uncertainties and to formulate well-reasoned validation conclusions
• Excellent communication and stakeholder management skills that enable effective collaboration with the Front Office Quantitative, Market Risk, Product Control, and Finance teams, while translating complex quantitative concepts into clear and actionable recommendations