Quantitative Risk Analyst (f/m/d)

Purpose

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-related models. A successful candidate will take the ownership of the implementation, maintenance and continuous improvement to the existing models and models under development within the department. 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 / Targets

• Define model development and implementation concepts for all credit models clearly stating the roles and responsibilities of appropriate segregation of functions.
• Define a consistent testing procedure for credit models, with each step clearly determined, including standard tests such as model tests (margin explain, Profit & Loss explain, stress tests etc.), benchmark tests, implementation tests and other plausibility tests, and taking into consideration the available (or planned) infrastructure and interfaces.
• Define, document and manage all 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.
• Conduct periodic recalibrations of otherwise static model parameters, undertake impact assessments and report on the results, where applicable. 
• Support model validation by providing all relevant information for validation activities.
• Act as a single point of contact for all model-related queries; support communication with the related stakeholders in the model risk management process (i.e. senior management, model validation, auditors, regulators).
• Maintain internal model inventory and model documentation.
• Report to Clearstream executive management and risk committees on the related matters.

Qualifications

• Advanced degree in a quantitative discipline (M.Sc., PhD/CFA or equivalent will be considered of an advantage)
• 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
• Experienced in modelling data and 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
• Sound understanding of statistics and quantitative techniques
• 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
• Team spirit, excellent communication, presentation and interpersonal skills.
• Excellent command of written and spoken English. German and/or French will be an asset