Quantitative Financial Analyst for Financial Instrument Valuation

10 ore fa


Milano, Lombardia, Italia Intesa Sanpaolo Group A tempo pieno

About Intesa Sanpaolo

As a leading banking group in Italy, Intesa Sanpaolo significantly supports the development of companies and contributes to the country's growth. With a presence in 25 countries, we offer our corporate customers cross-border business support.

Job Overview

We are seeking a highly skilled Quantitative Financial Analyst to join our team. The successful candidate will be responsible for validation and identification of valuation risks, their measurement and monitoring for pricing models of financial instruments at Fair Value (derivatives, bonds, securitisations, etc.). They will also implement Additional Valuation Adjustments (AVA) for Prudent Valuation purposes and develop financial models and reporting in our Risk Management system using Machine Learning techniques.

Requirements

The ideal candidate should have:

  • Previous experience as a quantitative analyst in a financial institution (a plus)
  • Master of Science in Physics, Mathematics, Mathematical Engineering, Computational and Quantitative Finance
  • Problem-solving attitude
  • Ability to work in a team and under tight deadlines
  • Knowledge of financial markets and main financial instruments
  • Knowledge of main pricing models of financial instruments
  • Elements of probability calculus, statistics, differential equations, and stochastic calculus, mathematical finance
  • Knowledge of Python or mathematical packages like Matlab
  • Knowledge of Machine Learning techniques
  • Excellent written and spoken English skills

Compensation Package

We offer a competitive salary package of approximately €65,000 - €80,000 per year, depending on qualifications and experience, in addition to other benefits.


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