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(Senior) Derivatives Valuation Specialist (f/m/d)

Job Level:  Professional

Frankfurt, DE, 60323

Due Date:  To be filled asap
Area of Expertise:  Asset & Investment Management
Unit:  Allianz Global Investors
Job Type:  Full-Time
Remote Job:  Not applicable
Employment Type:  Permanent
ID:  3477

Join us. Let’s care for tomorrow.


At Allianz Global Investors our people enjoy motivating, fulfilling careers. If you are looking for a fast-paced working environment, you are resolved to cultivate and expand your talents and relish a challenge, then join us now!


We are committed to giving our people – experienced and energetic professionals alike – the opportunities and experiences they seek to thrive and gain personal fulfilment. We will work with you to craft your own career, develop your personal growth, and align your achievements with your ambitions.


We are looking for you! We are currently hiring a forward-thinking and results-oriented (Senior) Derivatives Valuation Specialist (f/m/d) who will be part of our Model Valuation team of quant finance specialists. This position will be based in our Frankfurt office.

Within this exciting role, mark-to-model valuations of various types of (il)liquid OTC derivatives and illiquid fixed income structured products will be your main day-to-day duties. Being embedded within the Operations/business support function, this position also requires the active participation in operational processes front-to-back. Close collaboration with partners across global regions and the servicing of internal clients will be another integral part of this exciting role.

Depending on the seniority of the candidate, the scope of the role can be adapted.


Key responsibilities

  • Mark-to-Model valuation of (il)liquid vanilla and esp. exotic OTC derivatives (with underlyings in equity, interest rates, credit, inflation, etc.) and illiquid fixed income structured products by applying advanced pricing techniques run onto a QuantLib based valuation engine/pricing library in C++
  • Active participation in the execution of daily time-critical NAV relevant operative processes for the mass production with the in-house pricing library
  • Efficient maintenance and continuous optimization of operative processes front-to-back along the asset management value chain with the aim of delivering excellent service for internal clients, partners and investors
  • Close collaboration and alignment with parties across locations in the EU, US and AP (Risk Management, Investment Compliance, Legal, etc.), the servicing of internal clients (Portfolio Management, Distributions, etc.) along with relationship management
  • Strong support of change processes within (cross-regional) projects on valuation
  • Participation in new product approval processes with respect to the valuation of bespoke complex assets
    (esp. within the Alternatives space)
  • Model validation incl. input data analysis and evaluation of the adequacy of models and valuation
    techniques applied


Key Requirements/Skills/Experience

  • Advanced university degree in Math/Quant Finance, Financial Engineering, (Financial) Mathematics, Quantitative Economics, Physics or alike with strong focus on advanced analytical techniques
  • Ideally 7+ years of relevant professional experience, preferably in the valuation unit of an asset manager, consultancy firm or a bank, including profound knowledge of advanced quant finance stochastic models for valuing esp. exotic derivatives with non-linear payoff structures (e.g. barrier options, autocallables, swaptions, cliquet options, options on IRS, TRS, CDS, hybrids, etc.)
  • Management reporting experience is highly beneficial
  • Certifications such as CQF and FRM are a clear plus
  • Programming skills incl. experience in process optimizations and model implementations in advanced programming languages like C++, C#, Python, Java, SQL, etc.
  • Experience with open-source pricing libraries such as QuantLib is clearly advantageous
  • Convincing soft skills: strong communication and relationship management skills incl. ability of stakeholder management with a forward-thinking client servicing spirit
  • Agile and forward-thinking standout colleague mentality with proximity to change / project work
  • Ability to work independently under time pressure and flexibly in a team environment, showing strong endurance and persistence
  • High commitment, motivation, reliability, attention to detail and willingness to tackle responsibility fordelivering results on time, within budget and in the highest quality
  • Pronounced problem solving skills and an analytic way of thinking out of the box
  • Preferably passionate personality living all our AllianzGI values
  • Proficiency in English, German would be a plus


About Allianz Global Investors


Allianz Global Investors is a leading active asset manager with over 705 investment professionals in 23 offices worldwide and managing EUR 647 billion in assets for individuals, families, and institutions. (Data as of 30 September 2021)


Active is the most important word in our vocabulary. We believe in solving, not selling, adding value beyond pure economic gain. We offer a collegial culture based on strong values, taking individual responsibility, and dedication to mastering challenging tasks. To harness the power of innovation, we invest in the development of our employees. We encourage you to make an impact in a diverse, international, technology-enabled, and increasingly agile environment. If you feel inspired to elevate the active asset management experience, this is the place for you.


We are committed to deliver excellence to our clients, advisors, employees, our parent company and within our industry. Putting our clients' needs first, behaving in an open and transparent way and treating people fairly means acting with integrity. We respect difference and diversity and reward individual performance as well as teamwork.


We are also committed to the principles of Equal Employment Opportunity and to providing assistance to applicants with physical and/or mental disabilities. If you are in need support to navigate our website or to complete your application, please send an e-mail with your request to recruiting@allianzgi.com.