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Within Market & Treasury Risk, Model Validation & Trade Approval is a major stakeholder in the New Product Approval (NPA) process for new trading products. Especially the team is responsible for the validation and certification of the mathematical pricing models and provides trade approval for various (tailored) trading products.
IHRE AUFGABEN
Perform independent validation of pricing and valuation models used across asset classes, including but not limited to equities and FX derivatives
Involvement in New Product Approval process, serving as the gatekeeper for model risk, ensuring that pricing models are robust, well-understood
Ensuring appropriate controls and oversight, with a thorough assessment of their conceptual soundness, implementation quality and compliance with the internal governance standards before a new product is cleared for launch
Develop and implement independent reference pricing models as part of the validation process, using quantitative libraries
Assess model performance, limitations and sensitivity to parameters through quantitative techniques
Collaborate with front office quants, trading desks, risk managers and IT to understand business use, technical design and model limitations
YOUR PROFILE
Advances degree (Master or PhD) in Quantitative Finance, Mathematics, Physics, Computer Science or a related quantitative discipline
Knowledge of financial products and pricing models across multiple asset classes.
Strong programming knowledge, preferably Python and Java
Familiarity with quantitative libraries and integration into trading systems is a plus
Prior experience in model validation, quantitative research or model development is preferred
A strong aptitude for analytical thinking and problem solving, with the ability to work collaboratively in highly technical teams, frequently interacting with quant developers, traders, IT and risk managers
Business fluent in English is required
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