Quant – Fair Value Valuation

We are seeking an experienced Quant to join the Fair Value team (6 FTE) within the client’s Lending Tribe. The team is responsible for integrating lending portfolios into the dedicated pricing architecture. This role requires deep expertise in fair value valuation and the ability to translate financial theory into clear, implementable calculation rules.

Responsibilities:

• Analyze, design, and implement pricing models for lending portfolios.
• Act as functional owner of valuation logic and assumptions.
• Validate, reconcile, and explain valuation outcomes end‐to‐end.
• Lead impact analysis for model, portfolio, or policy changes.
• Support SOx, audit, and model validation discussions.
• Provide functional direction to data scientists and engineers.
• Drive knowledge transfer and continuity within the squad.
• Ensure strong understanding of data inputs and calculation chains.

Mandatory Skills:

• Expert in fair value valuation for lending portfolios (HTCS / HtC / HtS).
• Deep knowledge of discounted cash flow, curves, pricing, and credit drivers.
• Ability to translate financial theory into implementable calculation rules.
• Proven ability to validate and explain valuation outcomes.
• Strong understanding of data inputs and calculation chains.
• Experience leading impact analysis for model/policy changes.
• Supports compliance, audit, and validation processes.
• Degree educated or equivalent experience.

Nice to Have:

• Strong communication skills for collaboration across teams.
• Working knowledge of Linux (Red Hat Enterprise Linux 8 preferred).

Language & Seniority:

• English: C2 Proficient.
• Senior level.

Might need to travel

No sponsorship