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

Julius Baer; Zürich; Vor Ort; CHF 120.000 - 180.000; Vollzeit

Zusammenfassung

Julius Baer in Zurich seeks a quantitative professional to validate pricing and valuation models across multiple asset classes, ensuring robust governance and prudent valuation practices. You will work with Front Office Quants, Market Risk, and Finance to challenge model risk and support valuation adjustments.

Ideal candidates hold a Master’s in a quantitative field, with strong programming skills in Python and Java, and experience in model validation or related quantitative roles.

Qualifikationen

• Advanced degree in a quantitative field.
• Strong knowledge of financial products and pricing models across asset classes.
• Excellent analytical and problem-solving abilities.

Aufgaben

• Perform independent validation of pricing and valuation models across rates, credit, FX, derivatives, fixed income, and structured products.
• Participate in New Product Approval process, ensuring models meet governance and controls before launch.
• Support AVA calculations through model performance monitoring and reviews.
• Collaborate with Front Office Quants, Market Risk, Product Control, and Finance to keep valuation methods robust and compliant.

Kenntnisse

Model validation

Quantitative analysis

Communication

Ausbildung

Master's in Quantitative Finance / 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