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Head of Derivatives Valuation (f/m/d)

Karrierestufe:  Management

Frankfurt, DE, 60323

Verfügbar bis:  10/22/2022
Fachgebiet:  Vermögens- & Anlageverwaltung
Einheit:  Allianz Global Investors
Einstellende Einheit:  Allianz Global Investors GmbH
Vollzeit/Teilzeit:  Vollzeit
Homeoffice:  Hybrides Arbeiten
Beschäftigungsverhältnis:  Dauerhaft
ID:  10555

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 Head of Derivatives Valuation (f/m/d) who will be heading the team of quant finance valuation experts. This position will be based in our Frankfurt office.


Within this exciting leadership role, ensuring accurate mark-to-model valuations of various types of (il)liquid OTC derivatives and structured products will be your main day-to-day duties. Further developments within our proprietary valuation engine for pricing complex assets are another key element of the role.


Being embedded within the Operations/business support function, this position also requires to ensure the smooth operational processing 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.


Key Responsibilities:


  • Lead a team of quant finance valuation specialists / financial engineers
  • Mark-to-Model valuations of (il)liquid vanilla and 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++
  • Ensure the frictionless 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
  • Oversee the proper execution of machine learning techniques applied for automated price and market data controls
  • Close collaboration and alignment with parties across regions (Risk Management, Investment Compliance, Legal, etc.), the servicing of internal clients (Portfolio Management, Products, Distributions, etc.) along with stakeholder management
  • Support change processes within (cross-regional) projects on valuation
  • Participation in new product approval processes w.r.t. the valuation of bespoke complex assets
  • Ensure model validations incl. input data analysis and evaluation of the adequacy of models and valuation techniques applied


Key Requirements/Skills/Experience:


  • Advanced university degree in (Financial) Mathematics, Math/Quant Finance, Financial Engineering, Physics or alike with strong focus on advanced analytical techniques
  • Ideally 10+ years of relevant professional experience, preferably in the valuation unit of an asset manager or consultancy firm, including profound knowledge of advanced quant finance stochastic models for valuing any kind of OTC derivatives (e.g. equity options, IRS, CDS, CDS baskets, TRS, swaptions, barrier options, autocallables, cliquet options, hybrids, etc.)
  • Certifications such as CQF and FRM are a clear plus
  • Advanced programming skills incl. experience in process optimizations and model implementations in languages like C++, Python, SQL, etc.
  • Experience with open-source pricing libraries such as QuantLib is clearly advantageous
  • Collaborative leadership style, acting as a role model for the team members
  • 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 for delivering 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


We are a leading active asset manager with over 700 investment professionals in 23 offices worldwide and managing EUR 673 billion in assets. Data as of 31 December 2021


We invest for the long term and seek to generate value for clients every step of the way. We do this by being active – in how we partner with clients and anticipate their changing needs, and build solutions based on capabilities across public and private markets. Our focus on protecting and enhancing our clients’ assets leads naturally to a commitment to sustainability to drive positive change. Our goal is to elevate the investment experience for clients, whatever their location or objectives.


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 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 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