A successful candidate will have an opportunity to work with a broad spectrum of sophisticated risk models and instrument pricing models developed at one of Europe’s largest banks.
responsibilities :
Performing validation tasks,
Preparation of validation and management reports,
Presentation of validation results to the Validation Committee,
Presentation of validation approach and results to internal and external auditors,
Maintenance and development of analysis tool to support the validation process, in particular development and maintenance of software solutions (C, C++, C#, R, SQL, Python) supporting validation activities and development of challenger models.
requirements-expected :
Experience in building mathematical or statistical/econometric models,
Good understanding of liquidity risk management in a bank and/or of financial products (options, swaps, futures, forwards, repos, etc.).
Knowledge of R and / or other programming languages (C, C++, C#) with experience in numerical analysis,
Experience with front-office pricing systems and libraries (desired but not required).
benefits :
private medical care
sharing the costs of professional training & courses
life insurance
remote work opportunities
flexible working time
integration events
corporate sports team
retirement pension plan
preferential loans
no dress code
video games at work
coffee / tea
leisure zone
pre-paid cards
redeployment package
employee referral program
extra leave
Multisport
Skills@Work - personal & professional development program
Employee Assistance Program (psychological support)
