Model Risk Quantitative Analyst 100% (f/m/d)

Position Overview

• Model Validation & Trade Approval team is part of Market & Treasury Risk and is responsible for independent validation, governance, and ongoing performance assessment of valuation models.
• Moreover, 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.
• Instrument in New Product Approval process, serving as the 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 the internal governance standards before the product is cleared for launch.
• Support Additional Valuation Adjustment (AVA) calculations rising from Model Risk by executing model performance monitoring and period reviews.

Requirements

• Advanced degree (Master or PhD) 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 knowledge, preferably 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 formulate well-supported validation conclusions.
• Excellent communication and stakeholder management skills, capable of working effectively with Front Office Quants, Trading, Market Risk, Product Control, Finance while translating complex quantitative concepts into clear and actionable recommendations.