Job
- Level
- Experienced
- Job Field
- Data
- Employment Type
- Full Time
- Contract Type
- Temporary employment
- Location
- Frankfurt
- Working Model
- Onsite
Job Summary
In this role, you will develop quantitative rating and risk models for credit management, conduct model calibrations, and optimize existing procedures for model monitoring and validation.
Job Technologies
Your role in the team
- 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, he/she will assume responsibility for the related reporting, ad hoc reviews, investigations, and special assignments as required by senior management.
- 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 the 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.
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Our expectations of you
Education
- Master's degree in mathematics, computer science, physics or a related quantitative field.
Qualifications
- 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.
- Umfassendes Verständnis der regulatorischen Anforderungen für Rating-Modelle (z. B. CSDR, CRR, BCBS, MaRisk), einschließlich der Erstellung von Modelldokumentationen und Unterstützung bei regulatorischen Einreichungen.
- Strong programming skills in relevant languages (e.g., Python (including NumPy, SciPy, Pandas, PySpark, etc.), or similar) for data analysis, model development, and automation of model processes, along with strong knowledge of 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.
Experience
- 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.
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What we offer
- This position is limited until December 31, 2027.
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Topics You Will Work On
Job Locations
About Your Employer
Clearstream Europe AG
As an established central securities depository in Germany, Clearstream Europe AG ensures the secure settlement and custody of securities across 19 European markets. The company provides comprehensive services in financial market infrastructure.
Description
- Company Type
- Established Company
- Working Model
- Hybrid, Onsite
- Industry
- Banking, Finance, Insurance
Quantitative Model Developer
- Location
- Frankfurt
- Working Model
- Onsite
- Diversity
- Open for all genders
