Valuation / Financial Engineer

  • Competitive
  • Frankfurt am Main, Hessen, Germany
  • Permanent, Part time
  • Brock & Decker
  • 17 Apr 19

You'll be joining the team of valuation services in the implementation of valuation models of complex and illiquid financial products, as well as in risk management and projects around valuation and risk.

Key Responsibilities:

  • Devising valuation techniques for a wide range of cash, as well as model-dependent products and parameters across Credit
  • Assessing the valuation methodologies, testing of valuation tools, identify and resolve valuation discrepancies, and communicate assessments to stakeholders
  • Developing and implementing prudent valuation, Independent Price Verification (IPV) and model reserve methodologies as well as systems and functionality enhancements
  • Performing documented reviews of prudent valuation, modelling and parameter valuation/mark review methodologies
  • Working with stakeholders to improve efficiency by challenging processes and procedures and to discuss the status of the methodologies, developments, validation work and results of test work
  • Solving valuation methodology issues, for example valuing illiquid complex products in various markets
  • Supporting the IPV teams, by developing, reviewing and improving IPV processes, including parameter and product level IPV, fair value & model reserves, Pruval and other valuation considerations

Your Profile:

  • Strong knowledge of data interfaces (C#, .NET, SQL, VBA, etc.)
  • Strong skill in programming financial valuation and risk solutions
  • Academic degree Masters or PHd
  • Relevant experience with product valuation in specific or multiple asset classes such as: Credit, Interest Rates, Foreign Exchange or Equities with a good understanding of the Credit market being a preference
  • Strong analytical/quantitative and qualitative skills and should have the ability to develop methodologies to capture valuation uncertainty and to challenge valuation methodologies proposed by the business unit
  • Ability to produce documentation of a standard to be presented to regulators
  • An inquisitive mind and an analytical, yet practical, mindset towards addressing and resolving issues
  • Able to see the big picture and take pragmatic decisions. You should also demonstrate that your approach is consistent with the firm's Values and Beliefs
  • Experienced in producing a detailed analysis to demanding deadlines and clearly communicating the results to senior management, and potentially to auditors/regulators
  • Knowledge of English and German on the communicative level is a must.