📈 Quanteam Frankfurt sucht: Senior Experte für Quantitative Kreditrisikoanalyse

Seeking a highly skilled and experienced Credit Risk Modeller to join our dynamic team. The ideal candidate will have a deep understanding of Internal Ratings-Based (IRB) models, specifically Probability of Default (PD) and Loss Given Default (LGD) models. As a Credit Risk Modeller, you will play a pivotal role in developing, validating, and maintaining these critical credit risk models to support our organization's risk management and regulatory compliance efforts.

Key Responsibilities:

• Conduct regular statistical analyses such as risk analytics, default risk modelling and other similar tasks.
• Communicate the results of analyses clearly, including to senior management, in a way which adds significant value to business decisions.
• Design and implement the calibration and backtesting methodologies and support the Risk Systems teams responsible for the corresponding production processes
• Produce documentation to ensure replication of results and fulfil governance requirements
• Review existing strategies and practices, understand business problems and working with colleagues to scope out and deliver relevant analysis and modelling through to implementation.
• Develop within the team’s common Python code base.
• Assess the theoretical assumptions of models, ensuring they are fit for purpose

Requirements:

• Fluent German
• Good understanding of quantitative finance and related risk issues including derivative principles, option valuation, probability and statistics; coupled with a strong practical, and business focused, approach to modelling, valuation and risk management
• Experience from IRB (PD, LGD) models
• Strong communication skills
• Educational background within a highly quantitative subject (mathematics, quantitative finance, operational research, science, engineering or similar)
• Attentive to detail, striving to achieve deep understanding and top of class implementation.
• Experience of code development (including Python)
• Strong knowledge of risk management best practice.