Lead Model Validation Specialist – US Tax & Equity Derivatives (A)

Please note that due to applicable Swiss legislation, we can only consider applications from Swiss citizens, EU citizens, and individuals with a valid work permit.

Remote work from abroad is not possible.

Tasks

• Independently validate a quantitative model developed to determine the US withholding tax status of financial equity-linked instruments in accordance with Section 871(m) of the US Internal Revenue Code
• Assess whether equity-linked instruments with US underlying securities are classified as in-scope or out-of-scope (including potentially in-scope) under the regulation
• Verify that in-scope instruments are correctly subjected to the higher withholding tax rate (30%) on the equivalent dividend amount
• Review model assumptions, methodology, and calculations, including relevant equity derivative risk metrics (Greeks)
• Prepare comprehensive validation reports in English and present findings to stakeholders
• Collaborate with subject-matter experts in US tax regulation, quantitative analysis, and equity derivatives to ensure accuracy and compliance

Requirements

• Proven expertise in US withholding tax rules, specifically Section 871(m)
• Strong quantitative background with experience in mathematical modelling and equity derivatives, including risk metrics (Greeks)
• Understanding of financial product structures and their tax implications
• Experience in model validation or risk management in a banking or financial services context

Soft Skills

• Excellent written communication skills in English for producing clear and concise validation documentation
• Strong verbal communication skills to explain complex concepts to diverse stakeholders
• Team-oriented mindset and ability to work effectively with cross-functional groups