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 take the ownership of the back-testing and monitoring of collateral-related models. As part of the group wide Credit team, a successful candidate will assume responsibility for the regular review and reporting on model performance, related investigations and special assignments as required to senior management. Furthermore, s/he will take charge of the maintenance and development of the requisite monitoring tools.

Responsibilities / Targets

• Develop, maintain and enhance the concepts and methods for the effective model monitoring and model performance measurement.
• Regularly review and analyse model performance across the range of collateral-related model
• Analyse and back-test data to assess the robustness of haircuts applied to collateral securities
• Document the analysis and test results, report on the related model performance metrics
• Liaise with the model developers and users to seek continuous improvements to productively employed models or models under development; identify and discuss weaknesses and suggest potential improvements
• Maintain and enhance existing model monitoring tools; identify process improvements, write business requirements, test and implement the changes to existing / new monitoring tools.
• Support model validation by providing all relevant information for validation activities.
• Report to Clearstream executive management and risk committees

Qualifications

• University degree in a quantitative discipline (Economics / Finance/ Mathematics /Statistics)
• Good understanding of market and credit risk concepts, interest in banks and capital markets
• Sound understanding of statistics and quantitative techniques
• Strong problem-solving and analytical skills, ability to draw accurate conclusions based on complex data
• Accuracy, sound knowledge of the systems of records, comfortable to perform reporting and investigations
• Good programming skills in applications like Python, R, SQL or alike
• Ability to work independently, reliability, structured and result-oriented approach to work
• Team player, high commitment and excellent communication skills
• Excellent command of written and spoken English. German and/or French will be an asset