Risk Model Developer CR & FX Derivatives

Are you passionate about deepening your modelling and coding skills while making a real impact in the financial world? Do you have experience with pricing models and want to work in a collaborative, international environment? Then this opportunity might be just what you're looking for.

We’re looking for a curious and motivated model developer to join our team; someone who enjoys solving complex challenges and wants to grow in a role that blends technical expertise with purpose-driven work.

The team

You’ll be part of an energetic and diverse international team of highly qualified professionals. Our focus is on Trading pricing models, Market Risk, and Counterparty Credit Risk within the Trading Book. We sit within the Integrated Risk Model Development department, which brings together experts across Trading Risk, Credit Risk, and Market Risk in IRRBB and Balance Sheet Risk models.

We work with cutting-edge modelling techniques, modern tooling, and advanced data-processing technologies. The environment is dynamic, agile, and collaborative; offering plenty of opportunities to learn, grow, and contribute meaningfully.

Role and responsibilities

As a model developer, you’ll work on a variety of impactful activities, including:

• Designing and developing methodologies for valuation adjustment models, accounting for model risk uncertainty and position concentration.

• Building Trading Risk methodologies such as Incremental Risk Charge (IRC/DRC), VaR scenario specifications, Risk Not in Model, historical market data models, stress testing, and economic capital models.

• Developing Counterparty Credit Risk models.

• Creating model monitoring frameworks to ensure robustness and transparency.

• Supporting production system implementation through benchmark comparisons or direct model integration.

• Providing quantitative support to risk managers and traders; helping integrate new products and pricing models into existing frameworks, developing tools to clarify model choices, and analyzing methodologies used for P&L explainers or market data proxies.