Senior Quantitative Analyst – Credit Stress Testing

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

Our client is online Investment Bank who is currently looking to add Quantitative Analyst to join their team in Berlin.

Responsibilities:

  • Development and implementation of credit stress-testing methodologies that can be consistently applied on Bank Group .
  • Model maintenance including regular calibration of model parameters
  • Quantitative support for execution of regulatory stress tests
  • Remediation of internal and regulatory findings against DB’s stress-testing methodologies
  • Data processing: Collecting complex information and processing it ready for decision-making
  • Run impact calculations for test portfolios upon request from risk management, businesses or regulators
  • Extensive use of data analysis and statistical methods
  • Prepare detailed SR11-07 compliant model documentation for new models and model changes (including but not limited to assumptions, underlying data, mathematical specification, sensitivity analysis and benchmarking results)
  • Ensure adherence to industry standards and regulatory requirements
  • Prepare for internal model governance and regulatory review processes; coordinate and secure agreement on model design with relevant stakeholders

Requirements:

  • Relevant university degree (Master) in a quantitative discipline (e.g. Mathematics/ Statistics/ Physics/ Econometrics) and relevant professional experience necessary or
  • Relevant university degree (PhD) in a quantitative discipline (e.g. Mathematics/ Statistics/ Physics/ Econometrics) necessary
  • High level of particular specialist know-how/ methodological expertise necessary:
  • Experience with programming languages and modelling software (e.g. Matlab, SAS, Python, R, etc.)
  • Ability to work with large amounts of data from a number of inhomogeneous data sources
  • Strong analytical skills and ability to efficiently solve problems independently and proactively
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