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Overview
Within the Chief Risk Officer Area, you will join the Financial Engineering & Valuation Controls office of the IMI CIB Risk Management Department, participating in the analysis of new products and models for pricing financial instruments, measuring Fair Value Adjustments and Prudent Valuation, through the implementation of numerical procedures using programming languages and Machine Learning techniques.
What you will do
- Validation and identification of valuation risks linked to model risk, their measurement and monitoring for the Fair Value pricing models of financial instruments (in particular for OTC derivatives)
- Implementation and calculation of Fair Value Adjustments (xVAs) and for Prudent Valuation (AVAs)
- Implementation and integration of pricing libraries into Risk Management systems and development of Machine Learning techniques
Who we are looking for
If you have the following characteristics, we are waiting for you:
- Master's degree in quantitative disciplines (Mathematics, Physics, Finance)
- Fluency in written and spoken English
- Fundamentals of probability, statistics, differential equations and stochastic calculus, mathematical finance
- Knowledge of the main numerical methods for Partial Differential Equations, Monte Carlo, Fourier transforms, search algorithms, optimization, integration
- Knowledge of financial instruments (derivatives and bonds), including complex ones
- Knowledge of the quotation conventions of financial instruments (IRS, options, FX…)
- Knowledge of the main pricing models for financial instruments
- Knowledge of Python or mathematical packages such as Matlab
Candidates with significant professional or academic experience in international contexts will be given preference.
What we offer
- Gross annual salary starting from 35.650€
- The Group provides a variable component of remuneration as governed by the Remuneration Policies available on the Group website
- Complementary benefits governed by the National Collective Labour Agreement for Credit and second-level company agreements
- Professional development initiatives supporting the growth of our people
- Broad training offer through the Corporate Academy, dedicated to the continuous development of professional, managerial and transversal skills at all levels
- Option to take part in flexible working and the 4x9 short week
- Modern and integrated corporate welfare system (link)
- Healthcare coverage and supplementary pension plan from the start of employment
- Advantages on the Group's banking products and services
Who we are
We are a leader in Italy and one of the main banking groups in Europe. Join us and be part of our success story! With over 20 million customers in Italy and abroad, we are a true engine of sustainable growth with a strong commitment to the environment and a tangible impact on society.
People are at the centre; we take care of them by committing to create an inclusive culture within the Group in which everyone feels valued and empowered.
Join our international reality. The future does not wait, it is chosen!
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