Job detail for Financial Engineer

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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. You will participate in the analysis of new products and models for the pricing of financial instruments, the measurement of Fair Value Adjustments, and Prudent Valuation, through the implementation of numerical procedures using programming languages and Machine Learning techniques.

What your activities will be

• Validation and identification of valuation risks related to model risk, their measurement, and monitoring for Fair Value pricing models of financial instruments (in particular for OTC derivatives)
• Implementation and calculation of Fair Value Adjustments (xVAs) and 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 of Science in quantitative disciplines (Mathematics, Physics, Finance)
• Proficiency in written and spoken English
• Elements of probability theory, statistics, differential equations, stochastic calculus, and mathematical finance
• Knowledge of the main numerical methods for Partial Differential Equations, Monte Carlo, Fourier transforms, search algorithms, optimization, and integration
• Knowledge of financial instruments (Derivatives and Bonds), including complex ones
• Knowledge of financial instrument quotation conventions (IRS, options, FX...)
• Knowledge of the main pricing models for financial instruments
• Knowledge of Python or mathematical packages such as Matlab

Applications from those who have gained significant professional or academic experience in international contexts will be considered a plus.

What we offer you

• Gross annual salary starting from 35.650€
• The Group provides a variable remuneration component as regulated by the Remuneration Policies available on the Group's website
• Complementary elements regulated by the National Collective Labor Agreement for the Credit Sector and second-level company agreements
• Professional development initiatives to support the growth of our people
• Extensive training offer through the Corporate Academy dedicated to the continuous development of professional, managerial, and soft skills at all levels
• Possibility to join flexible work arrangements and the 4x9 short week
• Modern and integrated corporate welfare system ( link)
• Health coverage and supplementary pension scheme starting from the date of hiring
• Advantages on the Group's banking products and services

Who we are

We are leaders 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 center; we take care of them by committing to creating an inclusive culture within the Group where everyone feels like a protagonist and valued.

Join our international reality. The future is not waited for, it is chosen!

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We guarantee an inclusive and equal opportunity environment. We will consider all applications regardless of race, religion, sexual orientation, gender identity, marital status, age, disability, or any other protected category in compliance with Legislative Decrees 198/2006, 215/03, and 216/03.

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