(Senior) Derivatives Valuation Specialist (f/m/d)

Joinimagine; Frankfurt; Vor Ort; EUR 90.000 - 150.000; Vollzeit

Benefits dieser Stelle

Hybrid work model

Company pension/savings plans

Share purchase plan

Mental health & wellbeing programs

Career opportunities within Allianz

Zusammenfassung

Allianz Global Investors is seeking an experienced financial engineer to join the Derivatives Valuation Team in Frankfurt. The role focuses on the design, calibration and governance of quantitative valuation frameworks within VALF, handling OTC derivatives across asset classes, and ensuring sound, market‑consistent valuations in daily production.

You will develop pricing models and analytics in C++ and Python, implement QA frameworks with ML/AI, and collaborate across Risk, Compliance, and

Qualifikationen

• Advanced degree in a quantitative field and strong professional experience in valuation of derivatives.
• Proven hands‑on model implementation experience and solid market infrastructure knowledge.
• Fluent English; German is a strong advantage; willingness to operate in a regulated environment.

Aufgaben

• Valuation of OTC derivatives and complex assets using VALF and approved methodologies.
• Enhance valuation methodologies through practical model research and end‑to‑end production integration.
• Develop and enhance VALF and pricing library in C++ and Python.
• Design QA frameworks with ML/AI for anomaly detection and automated controls.
• Collaborate with Risk, Compliance, and Portfolio Management and external stakeholders.
• Implement pricing routines aligned with regulatory requirements (AIFMD, UCITS-D).
• Lead model validation activities including data analysis and judgement on model adequacy.
• Contribute valuation expertise to new product processes and liquidity considerations.
• Represent Valuation in committees to ensure fair value pricing and regulatory compliance.

Kenntnisse

C++

Python

QuantLib

SQL

English

German

ML/AI

Ausbildung

Advanced degree in financial mathematics/financial engineering

Tools

QuantLib

Git

Jobbeschreibung

The Allianz Global Investors Derivatives Valuation Team is seeking an experienced financial engineer with deep practical market knowledge. The role sits within the Derivatives Valuation team, which acts as the business, quantitative, and functional owner of the Valuation Factory (VALF), the central platform for the independent valuation of OTC derivatives across the organization.

The Derivatives Valuation team is responsible for the design, calibration, and governance of quantitative valuation frameworks implemented within its proprietary software, VALF. This includes ownership of valuation models, curve and volatility surface construction methodologies, model assumptions and parameterization, and valuation controls applied to OTC‑traded derivatives across multiple asset classes (rates, FX, credit, equity, inflation, etc.).

The team ensures that derivatives valuations are sound, market‑consistent, and numerically robust, while remaining scalable and operationally stable in daily production. This covers the full valuation lifecycle—from market data ingestion and model calibration through valuation generation, validation, and downstream delivery.

The team provides central governance and accountability for the quantitative valuation of vanilla and exotic OTC derivatives, acting as the authority on model usage, valuation adjustments, and methodological consistency. In parallel, the team drives the continuous evolution of VALF by advancing automation, model enhancements, and data quality controls, including the selective use of machine learning and AI techniques for anomaly detection, valuation quality assurance, and control automation. These capabilities support a scalable, resilient, and modern valuation platform capable of servicing increasingly complex portfolios while meeting heightened regulatory and audit scrutiny.

This role will be based in Frankfurt.

What you will do

• Valuation of complex assets such as OTC derivatives and less liquid structured products (predominantly IFRS 13 Level 2 and 3), using the proprietary VALF and widely accepted, fit‑for‑purpose methodologies. This includes drawing on a thorough practical understanding of market conventions, key value drivers across asset classes, and path‑dependent payoff structures, where the evolution—not merely the level—of underlying risk factors drives valuation outcomes
• Continuously enhance valuation methodologies through hands‑on research into alternative model approaches, critical assessment of their real‑world applicability, and end‑to‑end implementation, maintenance, and integration into production systems—going beyond theoretical familiarity to evaluate how models behave under live market conditions
• Develop and enhance VALF and its embedded pricing library, including the implementation of valuation models and analytics in C++ and Python
• Design and apply quantitative quality assurance frameworks, including the use of ML/AI techniques for anomaly detection, valuation consistency checks, and automated control enhancements
• Collaborate closely with Risk Management, Compliance, and Portfolio Management, as well as relevant external stakeholders (Audit, Fund Accounting, custodian banks, etc.)
• Design, implement, and continuously improve pricing routines, processes, and procedures, with a strong focus on regulatory valuation requirements (e.g., AIFMD, UCITS‑D, FMCC, etc.)
• Perform and support model validation activities, including input data analysis and expert judgment on the adequacy, stability, and limitations of applied pricing models—leveraging practical market knowledge to distinguish model artifacts from genuine valuation signals
• Contribute quantitative valuation expertise to new product processes, including the assessment of suitable models, data requirements, and valuation controls, informed by real‑world experience with instrument‑specific liquidity constraints and market dynamics
• Represent the Valuation function in Valuation Committees, contributing expertise on fair value pricing, with the ultimate goal of fulfilling local regulatory requirements with respect to valuation

What you bring

• Advanced university degree in (financial) mathematics, physics, financial engineering, statistics, computer science, or a related field
• Ideally more than 7 years of professional experience in a valuation (or risk) function at an asset manager or a bank, with a strong focus on quantitative finance and capital markets, and, ideally, relevant academic research in financial engineering or stochastic modelling
• Profound experience in the valuation of highly complex derivatives, including hands‑on model implementation, as well as a solid understanding of market infrastructure and related regulatory frameworks
• Strong coding skills, with practical experience in one or more object‑oriented languages, particularly C++ and Python; experience with QuantLib is considered a strong advantage
• Practical experience with relational databases and SQL
• Ability to work independently and autonomously on complex quantitative topics, combined with the flexibility to operate effectively in a collaborative team environment and think beyond standard approaches
• High level of commitment, motivation, reliability, and ownership, with a clear willingness to take on responsibility in a regulated and quality‑driven environment
• Fluency in spoken and written English is mandatory; good knowledge of German is a strong advantage
• Experience with C++, Python, SQL, AI and Machine Learning, Data Analytics.

What we offer

• We empower our employees by ensuring flexible work arrangements that maintain a balance between performance, productivity, career development and personal priorities (e.g., hybrid model/ flexible working hours)
• Securing your future: Access to company pension/savings plans
• Shared success: Company share purchasing plan
• Support for what matters: Mental health and wellbeing programs
• Investments in your career: Career opportunities within the entire Allianz Group
• Investments in your skills: Comprehensive learning and development offerings, including certifications and professional qualifications
• … and so much more!