Project description
You will be part of a team of 6 FTE (called Fair Value team) that will be responsible, within the client Lending Tribe, for integrating Lending portfolios with clients dedicated Pricing architecture
Responsibilities
- As a Quant, you will be responsible for:
- Analysis, design and implementation of pricing models
- model validation
SKILLS
Must have
- - Expert in fair value valuation for lending portfolios (HTCS / HtC / HtS).
- Deep knowledge of discounted cash flow, curves, pricing and credit drivers.
- Functional owner of valuation logic and assumptions.
- Translates financial theory into clear, implementable calculation rules.
- Able to validate, reconcile and explain valuation outcomes end‑to‑end.
- Leads impact analysis for model, portfolio, or policy changes.
- Supports SOx, audit and model validation discussions.
- Strong understanding of data inputs and calculation chains.
- Works closely with DS and engineers, providing functional direction.
- Drives knowledge transfer and continuity within the squad.
Nice to have
• Communication: Strong communication skills to collaborate effectively with cross-functional teams and stakeholders.
• Linux Knowledge: Working knowledge of Linux, with experience in Red Hat Enterprise Linux (RHAT 8) being particularly valuable.