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

Allianz Global Investors; Frankfurt; Vor Ort; EUR 110.000 - 180.000; Vollzeit

Benefits dieser Stelle

Hybrid work model

Company pension/savings plans

Share purchasing plan

Mental health and wellbeing programs

Career opportunities within Allianz

Zusammenfassung

Allianz Global Investors seeks an experienced financial engineer for its Derivatives Valuation Team in Frankfurt. The role focuses on valuation of OTC derivatives, model governance, and continuous evolution of the VALF platform with automation and AI techniques.

The candidate brings a strong background in quantitative finance, hands-on model implementation, and proficiency in C++/Python. Collaboration with Risk, Compliance, and Portfolio Management is essential in a fast, regulated environment.

Qualifikationen

• Advanced degree in a quantitative field (math/physics/finance/CS)
• 7+ years in valuation or risk in asset management or banking
• Proven track record of implementing valuation models and pricing engines
• Strong coding in C++ and Python; familiarity with QuantLib is a plus
• Experience with SQL and relational databases

Aufgaben

• Valuate complex OTC derivatives using VALF and robust methodologies
• Advance valuation methodologies and implement models in production systems
• Develop VALF pricing library and analytics in C++ and Python
• Design QC frameworks and apply ML/AI for anomaly detection and controls
• Collaborate with Risk, Compliance, and Portfolio Management across stakeholders
• Support model validation, data analysis, and interpretation for pricing models
• Contribute valuation expertise to new product processes and liquidity considerations
• Represent Valuation in committees and ensure regulatory alignment

Kenntnisse

C++

Python

SQL

English fluency

Quantitative finance

Ausbildung

Advanced degree in financial mathematics / financial engineering / physics

Tools

QuantLib

Relational databases

Python tooling

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!

About Allianz Global Investors

Allianz Global Investors is a leading active asset manager, managing assets for individuals, families,and institutions worldwide. Our shared goal to shape a future of opportunity for our clients is foundational to our culture and our values. We look to attract, and actively nurture, individuals with the drive to achieve excellence at every stage of the investment experience.

We believe an inclusive culture is key to a flourishing workforce. Not only do we celebrate the broad range of experiences, backgrounds, and attributes that our workforce brings, but we support our people to live and work in a way that promotes their own wellbeing.

Allianz Group is one of the most trusted insurance and asset management companies in the world. Caring for our employees, their ambitions, dreams and challenges is what makes us a unique employer.

We are united by a shared commitment: to put our clients first and at the centre of everything we do. Their needs inspire our thinking and guide our actions.

Together, we can build an environment where everyone feels empowered and confident to explore, grow and shape a better future – for our clients and for the world around us. At Allianz, we stand for unity: we believe that a united world is a more prosperous world, and we are dedicated to consistently advocating for equal opportunities for all. The foundation for this is our inclusive workplace, where people and performance both matter, and where integrity, fairness, inclusion and trust are at the heart of our culture.

We therefore welcome applications regardless of ethnicity or cultural background, age, gender, nationality, religion, social class, disability or sexual orientation, or any other characteristics protected under applicable local laws and regulations.

If you feel inspired to promotethe activeasset management experience, this is the place for you. Join our international, technology-enabled, and agile environment.

98507 | Operations | Professional | n.a. | Allianz Global Investors | Full-Time | Permanent