Quantitative analyst at Pricing Model Validation

Roles and responsibilities

• Analyse derivatives pricing models, where you critically look at the underlying mathematical model, investigate model suitability for particular pay-offs as well as its limitations, quantify missing risk, develop alternative pricing models, and make final judgement on the quality of the model.
• Develop and maintain the programming library, which is used for pricing various derivatives and for asserting of the accuracy of the implementation.
• Develop alternative pricing models to assess model limitations.
• Document your analysis, discuss your findings with front office and market risk management, and present your conclusions to the model approval committee.

How to succeed

We are looking for an enthusiastic colleague who enjoys analysing pricing models, investigating alternative approaches, coding sophisticated models, and writing high quality reports.

You have:

• Quantitative background. You have a PhD or MSc degree in quantitative finance, econometrics, mathematics, physics, or similar field.
• Deep knowledge of financial mathematics. You know stochastic calculus, measure theory,  and derivative pricing. You are well familiar with models used for option pricing as well as with the modern features like multi-curve pricing of IR derivatives and IBOR reform. 
• Solid programming experience, preferably in C++ and Python.
• Good English writing skills. You are accurate and skilled at drafting reports.
• Strong verbal communication skills. You present your work to your model validation colleagues, front office quants, traders, senior management, and are able to defend your stand point in plain language.
• Constructive attitude, pro-active team player, but can work independently on your own task.