AVP - Credit Risk Model Development & Stress Testing
My client is a leading German bank based in Berlin. The Risk Methodology department develops, validates and implements new risk methodology and models across all relevant risk types. The Head of Credit Risk Methodology is looking to hire a new AVP Risk Model Developer for credit loss projection models.
This is an opportunity that allows you to work in a diverse international environment with an open and transparent team culture, a high level of management and strategic exposure and other great benefits.
Key responsibilities:
- Complex statistical analysis for quantitative credit risk methodology development projects, related to CECL and IFRS9 frameworks
- Developing PD and LGD projection models for a group-wide stress test, EBA stress tests and CCAR (Comprehensive Capital Analysis and Review)
- Documentation of new models and model changes, with detailed analysis of sensitivity, benchmarking, and mathematical assumptions,
- Data processing with aggregation of data from various sources, with use of advanced numerical methods.
- Building relationships with stakeholders and associates across various departments.
Required skills:
- Graduate or post-graduate degree in a quantitative field such as mathematics, statistics, physics, econometrics, or quantitative finance. And relevant industry experience such as quantitative risk modeling.
- Strong analytical and problem solving skills
- Programming languages and modeling software such as Python, Matlab, or R, etc.
- Process and project management skills, with the ability to execute tight deadlines and being prepared for variable requirements
- Strong communication and presentation skills
Benefits:
- Learning and development
- Supporting work-life balance
- Supporting health and wellbeing
- Daily rewards
- Pension
