Quantitative Credit Risk Modeler

IT

MAIN RESPONSIBILITIES

  • contribute to the constant refinement and improvement of our credit risk methods in line
    with the regulatory and accounting requirements
  •  develop and maintain tools and models for measuring PDs and LGDs as well as for stress
    testing (incl. regulatory stress exercises such as CCAR)
  • develop risk-based monitoring tools both on a portfolio as well as on a single client level
    (e.g., concentration and/or liquidity) from which steering actions for our portfolios will
    be derived
  • extend the set of available risk measures in order to support the work of credit officers
    and client advisors in their core functions
  • work closely together with risk officers (market and credit), reporting teams and IT
    business analysts in a joint effort to improve the quality of credit risk representation and
    credit risk measures.
  • support senior management with portfolio as well as single client analysis based on
    specific risk scenarios
  • support the process of industrialization by actively elaborating and proposing
    improvement of our internal data systems and data sourcing processes in terms of quality
    and efficiency
  • make sure regulatory requirements and requests are dealt with in a disciplined, timely
    and efficient manner

 

REQUIREMENTS

  • a Master’s or PhD degree in a quantitative field like Financial Mathematics, Statistics
    or Econometrics
  • sound practical understanding of financial markets and products
  • experience with regression testing
  • prior working experience in a credit risk environment with Probability of Default (PD)
    & Loss Given Default (LGD) estimation experience together with knowledge of regulatory
    practices
  • experience with large data sets/Big Data
  • experience with high-level programming language, and knowledge of statistical modelling
    software (e.g., SAS, R, MatLab)
  • You are:
  • able to apply techniques from numerical analysis, statistics and financial mathematics
  • to solve practical problems
  • cooperative and team-oriented, while able to complete tasks independently with a high
    quality standard
  • pro-active in taking new initiatives and carrying them through completions
  • an excellent communicator with colleagues at all levels in the organization
  • able to explain technical topics clearly and intuitively, both written and orally

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