Explore how deep generative models like VAEs can simulate extreme but plausible financial scenarios by compressing
and reconstructing complex market data such as interest rate curves and volatility surfaces.
• Contribute to a cutting-edge reverse stress testing framework, enabling risk teams to assess portfolio resilience
against hypothetical crises beyond historical events.
Competences: knowledge of Artificial Neural Networks (Multi Layer Perceptron) and their training (Backpropagation
algorithm); understanding of compression algorithms (e.g. Principal Component Analysis); python programming (useful
libraries: pandas, numpy, pytorch/tensorflow)

We are proud to be an equal opportunity employer. We do not discriminate against individuals on the basis of race, gender, age, citizenship, religion, sexual orientation, gender identity or expression, disability, or any other legally protected factor. We value the unique talents of all our people, who come from diverse backgrounds with different personal experiences and points of view and we are committed to providing an environment of mutual respect.

Additional Information

This job description is only describing the main activities within a certain role and is not exhaustive. It does not prevent to add more tasks, projects.