Risk Methodology Quantitative Analyst (Investment Bank)

  • Location: Berlin, Germany
  • Salary: Competitive
  • Organization: Investment Bank

Our client, a Tier 1 Bank is looking for Risk Methodology Quantitative Analyst to be based in Berlin.


 Complex analysis, evaluation & decision-making:

  • Provide quantitative and qualitative justifications for modelling choices, assumptions made, data selection, reliability of model inputs including risk sensitivities and market data
  • Prototype new methodologies using programming scripts (in MatLab, R, SAS or Python)
  • Maintain a robust risk model control framework by doing complex analysis and perform comprehensive testing to ensure correct implementation
  • Validate model choices by theoretical proof and support them with empirical evidence (e.g. statistical analysis of historical market data or back-testing)
  • Identify model limitations and quantifying impact of parameter uncertainty
  • Keep abreast of the latest development in the internal Model Risk Policy and governance, external regulations, rules, and supervisory guidance for market risk models, and be responsible to keep both those models as well as development processes in full compliance to these requirement
  • Regularly reassess the effectiveness of current methodologies and the integrity of both the market data as well as other static parameters used to cover both recent and/or stressed historical windows through the monitoring of hypothetical portfolios
  • Produce comprehensive documentation of new or amended market risk methodologies (for the submission to internal Model Validation or ECB)

Data processing and mining : 

  • Analyse data quality and construct market data time series when data is unavailable, including investigating filling algorithms to cope with missing/inadequate market data
  • Collaborate with market data/ market change teams on the data sourcing and data quality analysis

Development of very complex methods, processes or analysis as well as improvements:

  • Validate model choices by theoretical proof and support them with empirical evidence
  • Analyse VaR across multiple models
  • Prepare supporting material for Senior Management Committees
  • Management of large-scale (partial) projects (cross-divisionally/on an international scale) in line with the assigned tasks

Relationship management:

  • Lead detailed discussions independently, build internal and external relationships to key stakeholders and communicate across all levels of the organization (incl senior management)
  • Training of junior colleagues and throughout Risk Methodology


High level of particular specialist know-how/methodological expertise necessary:

  • Quantitative skills including a good mastery of Probability and Statistics, Derivative Pricing Theory
  • IT and data skills including at least one of the following applications: Python, Matlab, R, SAS
  • Database skills (SQL queries as well as database design) is a plus
  • Knowledge of financial products and financial markets
  • Knowledge of risk management (VaR, Expected Shortfall, regulatory requirements including EBA RTS, Basel 3, FRTB)
  • Take essential complex decisions on the basis of information made available
  • Ability to work independently and flexibly within intra or inter-departmental groups
  • Ability to explain complex concepts and results in layman´s terms
  • Relevant university degree in Mathematics, Statistics, Computer Science, Physics, Econometrics (Master) plus relevant professional experience or
  • Relevant university plus postgraduate degree (PhD) necessary
  • Significant experience in a software development role necessary, experience in a financial markets role with exposure to market risk practices
  • Excellent writing and communication skills in English
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