Main tasks

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)

Alternative Tasks:

• 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

Expectations

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! 😉