Quantitative Modeling Position
The Risk Trading Quant Team is looking for a skilled Model Developer to join their team. The ideal candidate will have experience in developing calculation methodologies, trading risk models, and counterparty credit risk models.
We are an energetic international team of highly qualified professionals specializing in Trading pricing models, Market risk, and Counterparty credit risk in the Trading book. Our team includes experts in Trading Risk, Credit Risk, and Market Risk across IRRBB and Balance Sheet Risk models.
The successful candidate will be responsible for:
* Developing valuation adjustment models accounting for model risk uncertainty and position concentration;
* Developing Trading Risk methodologies such as Incremental Risk Charge (IRC/DRC), VaR scenario specifications, Risk not in model, historical market data models, stress tests, and economic capital models;
* Designing model monitoring methodologies;
* Performing production system implementation checks by comparing to benchmark implementations or directly implementing models in systems;
* Providing quantitative support to risk managers and traders, including integrating new products/pricing models into existing risk frameworks, developing tools for model insight, and analyzing methodologies used for P&L explanation or market data proxies.
To succeed in this role, you should have:
* A PhD or MSc in a quantitative field such as mathematics, physics, statistics, or econometrics;
* 3 to 5 years of quantitative experience in areas including Market Risk and/or Counterparty Credit Risk modeling and implementation in Python or C++; Derivatives pricing in asset classes like Interest Rate & Inflation, FX, Credit, Equity, Commodities, or XVA, with model implementation in Python or C++; Familiarity with key regulatory frameworks (e.g., CRR Market Risk, FRTB, Prudent Valuation);
* Strong communication skills and fluency in English;
* A constructive attitude and proactive team spirit.
We offer a competitive salary aligned with your experience and qualities, as well as opportunities for personal growth and challenging work in an informal, innovative work environment.