Quantitative Model Developer (f/m/d)

Your career at Deutsche Börse Group

Your area of work:

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

Your responsibilities:

• Develop, maintain and continuously improve quantitative rating and risk models used for credit and risk management.
• Define, document and manage processes required for the maintenance of rating and risk models in their productive states; take ownership for continuous improvements to the existing methodologies and model monitoring tools; 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.
• 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 tasks.
  
  
  

Your profile:

• Graduate degree in a quantitative discipline such as Economics, Mathematics, Computer Science, Physics ...
• Several years of relevant working experience in the model development and/or model validation function, or related roles
• Good understanding of quantitative risk models (rating models, credit risk models, market risk models,operational risk models,…) and the underlying quantitative methodology (stochastics & statistics, numerical algorithms, …)
• Sound knowledge of statistics and econometric methods as well as basic knowledge in mathematical finance and their applications. Sound knowledge of AI and machine learning methods (SVMs, Neural Networks,…) is a benefit.
• Sound programming skills in at least one programming language.
• Familiarity with relevant risk management regulations and guidelines (CSDR, CRR, BCBS, MaRisk) is a benefit.
• Attention to detail, strong problem-solving and analytical skills, sound judgement.
• Ability to articulate complex concepts in a succinct and clear way.
• Integrity, willingness to take responsibility and continuously improve.
• High commitment, team spirit, excellent communication and interpersonal skills, ability to effectively operate across various functions and business areas.
• Excellent command of written and spoken English. German and/or French will be an asset.