Pozíció leírása / Job description

Our partner is an international financial and insurance service provider with over 20 years of stable market presence. Operating as a legally independent entity within a prestigious global group, the company focuses specifically on global and regional operations. They offer a modern, flexible, and hybrid workplace with a Scandinavian-style corporate culture.

Perform calibration of stochastic financial mathematical models of interest rates, equities, and FX rates, using current market data like swap prices, swaption volatility surfaces, equity indices, and FX rates
Generate interest rate curves and risk-neutral economic scenario sets for regulatory purposes (Solvency II, replicating portfolio, movement analysis and market-consistent valuations under IFRS 17)
Calculate illiquidity premia (ILP) for market-consistent valuations under IFRS 17
Create non-standard risk-neutral and real-world scenario sets for pricing, ALM, ORSA and other regulatory purposes
Maintain and enhance internal processes and end-user developed applications
Support the maintenance and development of the applied financial mathematical models
Consult with users and stakeholders

Elvárások / Requirements

University degree in Financial Mathematics, Actuarial Sciences, Econometrics, Physics or related discipline
Affinity with mathematical modelling. Ideally, practical knowledge of financial derivatives, including the techniques to price them
Attention to detail, good analytical and communication skills in English, both oral and written
Practical and pro-active hands-on approach - you can combine rigorous mathematical thinking with a practical business flavour
Programming experience in Python and/or VBA is an advantage

Amit nyújtunk / Benefits