About work in our team
The world is changing, becoming digital, and so are we. We are leaving the traditional bank behind us and are choosing to move forward as a digital enterprise. This is exactly why we need talented people who will join us on this journey.
Join our team as a Senior Model Validation Specialist ( Instrument Pricing)
A successful candidate will have an opportunity to work with a broad spectrum of sophisticated risk models and instrument pricing models developed at one of Europe’s largest banks.
from the very
and health insurance
- Friendly and multicultural environment
- Professional trainings
- English and German courses
- 26 days of holiday from the very beginning
- Medical and health insurance
- Employee Pension Scheme
- Lunch card
What you will be doing?
- Critical analysis of existing models and processes, identification of weak points of existing models and providing possible improvements.
- Independently performing complete validations according to the validation concept.
- Contribution to further development of instrument pricing model validation methods and approaches with regard to content as well as for implementation of new regulatory required standards, corresponding adjustments to validation concepts
- Preparation of validation and management reports.
- Calculation of Model Reserve (FVA) and Model Risk AVA
- Development of reusable codes (packages, libraries) for use across various validations (IT infrastructure)
- Overall responsibility for model validations
- Building new instrument pricing models and creating independent implementations of existing models.
- Leading role with respect to consultation of regulatory requirements
Which technology & skills are important for us?
- High knowledge of mathematics applied in area of instrument pricing (e.g. functional analysis, probability theory, stochastic differential equations)
- Good knowledge of of numerical methods applied in area of instrument pricing (e.g. Monte Carlo methods, PDE, differential equations, linear algebra, optimization)
- High knowledge of statistics and econometrics.
- High knowledge of R and / or other programming languages (C, C++, C#) with experience in numerical analysis.
- Experience in building mathematical or statistical/econometric models.
- Good understanding of financial products (options, swaps, futures, forwards, repos, etc.).
- Experience with front-office pricing systems and libraries (desired but not required)
Do not worry, if you do not have experience in some of the points - we will provide trainings for you! 😉
Please add the following disclaimer to your application:
2. I have read the content of the information clause, including information about the purpose and methods of processing personal data and the right to access to my personal data and about the right to correct, rectify and delete it.