Quant Validator (m/f/d) Stress Testing Model Risk Management, Banking, Berlin

Description

Quant Validator (m/f/d) Stress Testing Model Risk Management, Banking, Berlin

Gewünschtes Eintrittsdatum: ab sofort
Anstellungsart: (Young-) Professional
Ort: Berlin
Beschäftigungsart: Vollzeit

Veröffentlicht am: 30. April 2019

Mathematical model & implementation method experience wanted!

Our client is a leading universal bank, a global Player, innovative and Always one step ahead of market requirements. The Quant-Team in Berlin develops and validates internal and regulatory risk management models, for example rating systems, stress testing and capital modelling. Main focus will be on providing a central Validation service for full revaluation methodologies for re-pricing trades across scenarios. This task requires deep understnading of mathematical models and implementation methods used, the products traded and the associated risks that are inherent in the market representation of the products.

We offer you:
  • An international environment in a quantitative field
  • A top employer with a very good reputation and a modern, employee-friendly framework
  • A collegial working atmosphere in a young and motivated team
  • Centrally located office in Berlin
  • A permanent contract
  • Flexible working hours for a self-responsible way of working
  • Benefits, such as employee conditions for banking products, retirement plans etc.
Your responsibilities:
  • Review and analyze models for stressing the bank’s positions across a range of scenarios and use cases across regulatory and internal stress testing
  • Ensure compliance with regulatory requirements and documentation of model and product
  • Identifying opportunities to make existing processes and projects more efficient by developing tools for automation
  • Theoretical analysis and review is required. Validation tests of model are implemented in a managed Python code base.
  • Contribute to forming the basis of discussion with key model stakeholders including Front Office Quants, Risk Methodology and Risk Managers depending on the outcome of your review and analysis
  • Build relationships with Risk colleagues in Berlin, London, New York and globally
  • Relationship with stakeholders and business associates, internal & external
  • Support for dealing with internal and external audit requests
  • Dealing with very critical issues and escalation
Your qualifications:    
  • Master’s degree in a numerate subject such as Mathematics, Physics, Statistics, Finance (PhD would be beneficial)
  • Several years of relevant professional experience
  • Solid knowledge of pricing models for financial products (predominantly derivatives); this includes an understanding of both mathematical models and corresponding implementation methods
  • Very strong mathematical background, particularly in the field of financial mathematics, with a deep understanding of Stochastic Calculus, Partial Differential Equations, Monte-Carlo Methods, Finite Difference Methods, and Numerical Algorithms
  • Very Strong IT skills including Python coding experience in a managed codebase or equivalent languages
  • Excellent communication skills (both written and oral English), including an ability to explain mathematical concepts and results to various stakeholders in layman’s terms
  • Great attention to detail, ability to ensure high quality & consistency of reports produced
  • Flexibility and ability to adapt changing processes
  • Understanding of the steps and key methodologies for stress testing, VaR (beneficial to understand cross-asset pricing models)
  • Highly analytical/structured thinking
  • Focused, self motivated and proactive
  • Ability to work both with a high degree of independence and as part of a collaborative team

 

Please apply online via our contact form. We look forward to learn more about you!
Your contact: Lidija Gotovac / Phone: 0049 30-78 71 25 44 / Let’s connect!

www.wellconnected.de

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