About the role
Model risk is the risk of financial loss due to inappropriate model assumptions or inadequate model usage.
In Leonteq's business, significant model risks may arise when models are used to value financial securities and to calculate hedge ratios or when models are used to address regulatory requirements.
In this extensive role, you will cover a broad range of activities and knowledge areas as you will be involved with aspects of model validation in close collaboration with other Risk Control members and departments outside Risk Control, such as Quantitative Analytics, Trading and Structuring.
At Leonteq, we are a leading player in the financial industry, renowned for our innovative approaches, our commitment to excellence and our entrepreneurial spirit. Our organisational values people together, passion, dedication, quality and expertise are our guiding north star.
What you'll do
- Validation of valuation models and regulatory models, including testing and documentation efforts
- Evaluation of models' conceptual aspects and their implementation, data sources and best market practices
- Review and approval of pricing library releases
- Contributions to Leonteq's model risk framework
- Contribution to automation and efficiency by finding opportunities to enhance reporting and analysis systems, and collaborating closely with IT departments
- Maintenance of controlled and documented processes
- Review of pricing scripts for special transactions and approval of such trades
- Independent price and model parameter verification
What you'll need
- Degree with strong quantitative background (physics, mathematics, computer science, financial mathematics, etc)
- Understanding of derivatives and financial markets
- Preferably, knowledge of quantitative finance and stochastic calculus
- Willingness to analyse problems and work with considerable accurateness
- Ability to learn new concepts and tools
- Results-oriented team player with strong interpersonal skills (communication, collaboration, client focus)
Nice to have
- Previous professional experience
- Relevant experience in banking / insurance environment
- Familiarity with programming (Python, VBA, SQL)
Why you'll love working here
- Experience the dynamics of a leading fintech company
- Possibility to work with domain experts and learn from them directly
- Work in modern facilities at an exceptional location
- Hybrid work system: 3 days office and 2 days home office
