Quantitative Analyst- Will give you the opportunity and freedom to build and validate the in house pricing models for Equity and FX. Are you ready to put your skills to the test? Your work will have direct impact on the banks' business and the lives of its customers. We’ve got a challenge you can really sink your teeth into.
Within the Market Risk & Product Control department, Risk Analytics is focused on the development of adequate method for measuring market risk in the trading book, maintaining the VaR engine, validating pricing models and maintaining risk applications.
- Participation in new product approval process including: risk assessment, requirements specification and ensuring that internal risk models are adequate
- Validating in-house developed pricing models for Equity and FX contracts
- Development and implementation reference pricing models
- Assessment of model risk based on model limitations and mathematical assumptions
- Review quality of risk and stress information as well as independent price verification
- Master or PhD level in a quantitative area (Physics, Mathematics, Engineering, Quantitative Finance)
- Strong quantitative background in Finance
- Programming preferably in Python and Java
- Deep knowledge of financial markets, products and their representation in trading systems
- Experience in the trading environment (market risk, valuation control, model validation)
- Excellent German and English (both written and verbal)