Quantitative Analyst – Group Credit (f/m/d)

With more than €14 trillion in assets under custody, Clearstream is one of the world’s largest settlement and custody firms for domestic and international securities. Clearstream ensures that cash and securities are promptly and effectively traded between market participants and that its customers are always notified of the rights and obligations attached to the securities they keep under its custody. Additionally, Clearstream provides services for investment funds, collateral management and securities lending.

Field
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 Analyst to maintain, further develop and oversee internal credit rating models. A successful candidate will take the ownership of the implementation, maintenance and continuous improvement to the existing rating models and models under development within the department. Furthermore, as part of the group wide Credit team, s/he will assume responsibility for the maintenance, automation and optimisation of related internal processes and procedures, reporting, ad hoc reviews, investigations and special assignments as required to senior management. 

Responsibilities 

• 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 model parameters, undertake impact assessments and report on the results. 
• Develop testing procedures for credit rating models, including benchmark tests, implementation tests and other plausibility tests.
• Support model validation by providing all relevant information for validation activities.
• Act as a single point of contact for ECAG for all credit rating 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 executive management and risk committees on the related matters.

Qualifications/required skills 

• University degree in a quantitative discipline 
• Ideally at least 3 years of relevant work experience in developing credit models and/or validating credit models 
• Good understanding of credit risk 
• Experienced with 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  
• 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