One of the Germany's leading banks is seeking a highly motivated Quantitative Analyst to join their Model Validation team in Berlin. This role sits within the Model Risk team, focusing on the risk analytics and risk architecture on Model Validation topics. In this position, you would specialise in the valuation models used for calculating the IRRBB / Delta EVE models. This an incredible opportunity to further your experience with a global brand.
- Engage in the Model Validation and Analysis of valuation models for the IRRBB function
- Provide detailed analysis on the quantitative models used here, as well as the risk methods and products traded here
- Analyst the pricing models for the Delta EVE calculation, using python
- Provide detailed reports and reviews of the Risk Analysis processes, and communicate them to stakeholders both in the front office and the Methodology team.
- Contribute to the development of the banks' internal Python library
- Provide an accurate report on Model Validations, for both internal and external stakeholders of the business, notably regulators
- Play a key role in the development and validation of important derivative products
- Using your analytical skills, contribute to the continuous improvement of Risk Modelling processes and analysis
- An advanced degree or equivalent in a field such as Mathematics, Physics, Statistics.
- Experience working with pricing models / derivative products / relevant valuation models
- Strong understanding of Stochastic Calculus and Monte Carlo Methods
- Good knowledge of the coding and method used in Model Validation, such as Python
- English Speaking