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Validation of valuation models for Counterparty Credit Risk (CCR) as well as validation of portfolio simulation (Monte-Carlo) in Counterparty Credit Risk incl. parameters like PFE, EPE
Collaboration with London (Quant-Risk) and front office (Quant-Team Trading) regarding model development and validation
Support of Credit Risk Management in the expert calculation/simulation of, among others, PFE, haircuts for collateral of capital market products within the scope of business approval
Support for CCR risk systems Adaptive/FIS, Calypso/ERS and local R developments for credit risk
Development and implementation of projects to improve risk presentation, especially in CCR (including SA-CCR and similar projects) as well as development of framework for Counterparty Credit Risk (CCR) man-agement and control including procedural and methodological processes/procedures
Support in the new-product-new-market process / new business process
Implementation of valuation models in the Risk Management's own model library
Advanced quantitative degree or science degree, preferably in physics, mathematics, quant finance or engineering (PhD preferred)
Several years of professional experience in risk management or front office of a bank (strong quantitative role); preferably several years of model development and/or validation work
Strong mathematical/analytical understanding
Regulatory and economic knowledge (e. g. Basel III, capital market products) an advantage.
Programming experience especially in R, or C# desirable, SQL knowledge an advantage
German and English language skills business fluent in spoken and written; Russian language skills advantageous
Attractive compensation package with company pension plan
Job ticket, capital forming benefit, restaurant vouchers and recreation allowance
International orientation through the global network of the VTB Group
Individual further training measures and certifications
Headquarters in Western Europe
Light-flooded, modern workplaces in a central location in Frankfurt with very good transport links
Have we aroused your interest?
Then we look forward to receiving your complete application documents, including your salary expectation and possible starting date, by e-mail to HumanResources@vtb.eu.
VTB Bank (Europe) SE | Rüsterstr. 7 – 9 | 60325 Frankfurt am Main | www.vtb.eu
Internal Number: 10859003
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