VTB Bank (Europe) SE supports companies and banks as a competent and reliable partner in the processing of transactions in Russia and other countries worldwide. With our experience of 45 years as a European specialist bank for European-Russian trade relations, we see ourselves as the leading European bank in this segment. As part of VTB's Corporate Investment Business (CIB) matrix, VTB Bank (Europe) SE can efficiently leverage the Group's international presence, and its clients can benefit from the efficient support provided by the Group's various business units.
- Validation of valuation models for Counterparty Credit Risk (CCR) as well as validation of portfolio simulation (Monte-Carlo) in Counterparty Credit Risk incl. parameters like PFE, EPE
- Collaboration with London (Quant-Risk) and front office (Quant-Team Trading) regarding model development and validation
- Support of Credit Risk Management in the expert calculation/simulation of, among others, PFE, haircuts for collateral of capital market products within the scope of business approval
- Support for CCR risk systems Adaptive/FIS, Calypso/ERS and local R developments for credit risk
- Development and implementation of projects to improve risk presentation, especially in CCR (including SA-CCR and similar projects) as well as development of framework for Counterparty Credit Risk (CCR) management and control including procedural and methodological processes/procedures
- Support in the new-product-new-market process / new business process
- Implementation of valuation models in the Risk Management's own model library
- Advanced quantitative degree or science degree, preferably in physics, mathematics, quant finance or engineering (PhD preferred)
- Several years of professional experience in risk management or front office of a bank (strong quantitative role); preferably several years of model development and/or validation work
- Strong mathematical/analytical understanding
- Regulatory and economic knowledge (e. g. Basel III, capital market products) an advantage.
- Programming experience especially in R or C# desirable, SQL knowledge an advantage
- German and English language skills business fluent in spoken and written; Russian language skills advantageous
- Attractive compensation package with company pension plan
- Job ticket, capital forming benefit, restaurant vouchers and recreation allowance
- International orientation through the global network of the VTB Group
- Individual further training measures and certifications
- Headquarters in Western Europe
- Light-flooded, modern workplaces in a central location in Frankfurt with very good transport links
Have we aroused your interest?
Then we look forward to receiving your complete application documents, including your salary expectation and possible starting date, by e-mail to HumanResources@vtb.eu.
VTB Bank (Europe) SE | Rüsterstr. 7 – 9 | 60325 Frankfurt am Main | www.vtb.eu