Model Risk Quantitative Analyst 100% (f/m/d)

Bank Julius Bär & Co. Ltd.; Zürich; Vor Ort; CHF 140.000 - 190.000; Vollzeit

Zusammenfassung

Julius Baer invites applications for a Model Validation & Trade Approval specialist to strengthen valuation governance and prudent valuation practice. You will scrutinize modelling assumptions, calibration methods and valuation frameworks to ensure robust governance across pricing frameworks.

Joining the team provides exposure to cross-asset models, new product risk assessment, and ongoing performance monitoring.

Qualifikationen

• Advanced degree in a quantitative field such as Quantitative Finance, Financial Engineering or Mathematics.
• Strong knowledge of financial products and pricing models across multiple asset classes.
• Proficient programming skills in Python and Java.
• Experience in model validation or Front Office Quantitative Development with focus on model risk

Aufgaben

• Perform independent validation of pricing and valuation models acrossRates, credit, FX, derivatives, fixed income and structured products.
• Contribute to New Product Approval as gatekeeper for model risk with robust conceptual soundness and governance.
• Support AVA calculations and conduct model performance monitoring and periodic reviews.
• Collaborate with Front Office Quants, Market Risk, Product Control and Finance to keep valuation methods robust and compliant.

Kenntnisse

Quantitative finance

Analytical thinking

Communication

Programming (Python)

Programming (Java)

Ausbildung

Master or PhD in Quantitative Finance or related

Tools

Python

Java

Jobbeschreibung

At Julius Baer, we celebrate and value the individual qualities you bring, enabling you to be impactful, to be entrepreneurial, to be empowered, and to create value beyond wealth. Let’s shape the future of wealth management together.

Model Validation & Trade Approval team is part of Market & Treasury Risk and is responsible for independent validation, governance, and ongoing performance assessment of valuation models. Moreover, Model Validation & Trade Approval team is responsible to assessing and challenging model uncertainty and valuation risk drivers that contribute to Model Risk valuation adjustments under Prudent Valuation regulations.

The candidate will evaluate and examine modelling assumptions, calibration methodologies, and valuation frameworks to ensure robust model governance and prudent valuation practices.

YOUR CHALLENGE

• Perform independent validation of pricing and valuation models used cross rates, credit, FX, derivatives, fixed income, and structured products
• Involvement in New Product Approval process, serving as the gatekeeper for model risk, ensuring that pricing models are robust, well-understood, and subject to appropriate controls and oversight, with a thorough assessment of their conceptual soundness, implementation quality and compliance with the internal governance standards before the product is cleared for launch
• Support Additional Valuation Adjustment (AVA) calculations rising from Model Risk by executing model performance monitoring and period reviews
• Collaborate with Front Office Quants, Market Risk, Product Control, Finance to ensure that valuation methodologies remain robust, transparent, and compliant with internal policies and regulatory requirements

YOUR PROFILE

• Advances degree (Master or PhD) in Quantitative Finance, Financial Engineering, Mathematics, Physics, Computer Science or a related quantitative discipline
• Strong knowledge of financial products and pricing models across multiple asset classes.
• Strong programming knowledge, preferably Python and Java
• Prior experience in model validation, quantitative research or Front Office Quantitative Development with a deep understanding of model risk management
• Knowledge of Additional Valuation Adjustments (AVA) and prudent valuation frameworks is a plus
• A strong aptitude for analytical thinking and problem solving, with the ability to identify material model risks and valuation uncertainty, and formulate well-supported validation conclusions
• Excellent communication and stakeholder management skills, capable of working effectively with Front Office Quants, Trading, Market Risk, Product Control, Finance while translating complex quantitative concepts into clear and actionable recommendations

The international reference in wealth management Julius Baer is the leading Swiss wealth management group. We focus on servicing and advising sophisticated private clients from around the world, taking into account what truly matters to them – in their business and personal life, today and for future generations. Headquartered in Zurich, we are present in around 60 locations worldwide, including Bangkok, Dubai, Dublin, Frankfurt, Geneva, Hong Kong, London, Luxembourg, Madrid, Mexico City, Milan, Monaco, Mumbai, Santiago de Chile, Shanghai, Singapore, Tel Aviv, and Tokyo.

Why join Julius Baer?

At Julius Baer our employees enjoy the benefits of a global company with the support and collegiality of a much smaller one. We are growing quickly, but we remain dedicated to maintaining our accessible structure with flat hierarchies, and approachable and supportive leaders. With offices around the world, we offer an international and stimulating work environment and the opportunity to work with a diverse team of highly motivated colleagues, bringing the best of the bank to our clients. Our core values of Care, Passion, and Excellence define the tone of how we interact with each other and our partners.

Committed to your success

Whether nurturing young talent with our renowned apprentice scheme, enabling ambitious university graduates to put theory into practice with our Graduate Programme, or providing first-class opportunities for experienced professionals, we look after our employees. We believe in continuous learning as a company and as individuals, which is why we put a focus on the health and well-being of our employees and offer flexible working options, a wide array of benefits, and extensive career development programmes.

For more information visit www.juliusbaer.com or contact us via the Contact Form.