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Quantitative Risk Analyst - Model Validation - Credit Rating Models (f/m/d)

Date: 27-Oct-2020

Location: Frankfurt am Main, DE

Company: Deutsche Börse Group

Start: 01.06.2021 / This position is initially limited for 2 years.

 

Field of activity

Model Validation is key to Eurex Clearing’s Model Risk Management. As a second line risk management function, we perform regular and ad hoc model reviews considering a changing regulatory environment and market conditions, define model risk and validation guidelines and develop appropriate validation methods. Your primary role is to drive and participate in the validation of models in scope of regulatory requirements such as models for calculation of economic capital requirements.

Model Validation reports directly to the Chief Risk Officer of Eurex Clearing and you will have regular opportunities to present validation results to senior management and regulators. In addition, team members are involved in cross-functional, strategic projects of Deutsche Börse Group.

 

Tasks/responsibilities

  • Validation of internal Credit Rating Models models performing regular and ad-hoc validation analyses and tests and writing validation reports
  • Create and maintain validation documentation ensuring model validation concepts, documents and activities are in compliance with Model Validation Framework and policies, standards and guidelines
  • Presentation of model validation results, incl. model validation findings to senior management and supervisory authorities
  • Collaboration with Model Developers, IT and other stakeholders 

 

Qualifications/required skills

  • Graduate degree in quantitative discipline, e.g. mathematics, economics or finance
  • 3 – 8 years relevant experience in financial institution, e.g. in validation or development of models
  • Solid knowledge credit rating models and corresponding regulatory requirements, e.g. EMIR, CRR, MaRisk, ECB and EBA guidelines
  • Excellent analytical skills and strong interest in capital markets, financial products and clearing 
  • Advanced programming skills in one of those languages: Python or R or similar are a plus
  • Excellent communication skills in written and spoken English