Quantitative Risk Analyst (f/m/d)

Field of activity
Group Credit`s overriding objective is to ensure that business activities are conducted within a prudent credit risk framework that is consistent with the bank's credit appetite and in compliance with regulatory and supervisory requirements. We are searching for a Quantitative Risk Analyst to maintain, further develop and oversee collateral- and credit rating related models. A successful candidate will take the ownership of the implementation, maintenance and continuous improvement to the risk models and methodologies on the range of banking type products. Furthermore, as part of the group wide Credit team, s/he will assume responsibility for the related reporting, ad hoc reviews, investigations and special assignments as required to senior management.

Responsibilities

• Design and continuously improve financial risk models to e.g. appropriately collateralize risk exposures and manage concentration & wrong way risks;
• Define, document and manage processes required for the maintenance of the models in their productive states; drive and take the ownership for continuous improvements to the existing methodologies; address any related findings as revealed by model monitoring or model validation.
• Regularly review the adequacy and robustness of applied risk models and perform model calibrations, undertake impact assessments and report on the results, where applicable.
• Create and maintain adequate documentation of the applied methodologies.
• Assist in model prototype development and testing.
• Work in close collaboration with model users and IT to accompany IT development process, including writing business requirements, taking into consideration the available (or planned) infrastructure, as well as performing business acceptance testing.
• Deliver insightful management information in support of senior management and committee review
• Develop and maintain effective relationships with internal stakeholders and regulatory authorities
• Maintain internal model inventory. Support the team's regular and reporting tasks.

Qualifications/skills

• Graduate degree in a quantitative discipline (PhD/CFA or equivalent qualification will be considered of an advantage)
• Several years of relevant experience in the model/product development roles and/or model validation function, or related roles
• Good understanding of financial markets and pricing of fixed-income instruments, familiarity with securities financing products is an advantage.
• Sound knowledge of statistics and econometric methods and their application, experience with broader risk analytics approaches (e.g. VaR, back-testing, stress testing).
• Experience in model prototyping, creativity in finding adequate solutions using MatLab/R/Python or alike.
• Strong problem-solving and analytical skills, ability to draw accurate conclusions based on complex data
• Familiarity with relevant risk management regulations and guidelines (CSDR, TRIM, BCBS239, MaRisk) will be considered of an advantage
• Sound judgement, ability to articulate complex concepts in a succinct and clear way
• Integrity, willingness to take responsibility, high level of reliability
• High commitment, adequate communication and presentation skills, ability to operate and build effective relationships across various functions and business areas.
• Excellent command of written and spoken English. German and/or French will be an asset.

01 Januar
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