Quantitative Model Developer (fmd)

This position is limited until 31.12.2027.

Your area of work

Group Credit and Clearstream Risk Managements overriding objective is to ensure that business activities are conducted within a prudent risk management framework that is consistent with the institutions 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 teams regular tasks

Your profile

• Masters degree in mathematics computer science physics or a related quantitative field
• 2-3 years of experience in the end-to-end development implementation and validation of credit rating models with direct involvement in model specification calibration performance monitoring and backtesting
• expertise in quantitative risk modelling especially in the context of creditworthiness assessment and rating assignment with a strong grasp of methodologies such as logistic regression scorecard development and machine learning techniques applied to credit risk
• Comprehensive understanding of regulatory requirements for rating models (e.g. CSDR CRR BCBS MaRisk) including the preparation of model documentation and support for regulatory submissions
• Strong programming skills in relevant languages (e.g. Python (incl. NumPy SciPy Pandas PySpark) or similar) for data analysis model development and automation of model processes and strong knowledge in Development Tools like Azure DataBricks GitHub etc.
• Ability to analyze large datasets identify data quality issues and derive actionable insights to improve model accuracy and performance
• Meticulous attention to detail robust analytical and problem-solving skills and sound professional judgement
• 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