Quantitative Analyst - Model Developer (f/m/d)

Your area of work:

Group Credit's overriding objective is to ensure that business activities are conducted within a prudent credit risk framework that is consistent with the bank’s credit appetite and in compliance with regulatory and supervisory requirements. We are searching for a Quantitative Analyst to maintain, further develop and oversee credit rating models. A successful candidate will take ownership of the development, implementation, maintenance and continuous improvement to credit and collateral methodologies on the spectrum of counterparts and banking type products. Furthermore, as part of the group-wide Credit 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 credit rating methodologies on several counterpart types.

• Define, document and manage processes required for the maintenance of credit rating 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. 

• Create and maintain adequate documentation of applied methodologies.

• 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 team’s regular tasks.

Your profile:

• Graduate degree in a quantitative discipline, FRM/CFA/PhD will be considered as an asset.

• At least 3 years of relevant experience in the model development and/or model validation function, or related roles

• Good understanding of credit risk and credit risk assessment methodologies, experience with both expert-based and statistical credit risk models.

• Sound knowledge of statistics and econometric methods and their application.

• Experience in data modelling and model prototyping, fluency in Python/R/ SQL or alike.

• Familiarity with relevant risk management regulations and guidelines (CSDR, CRR, BCBS, MaRisk).

• Attention to detail, strong problem-solving and analytical skills, sound judgement.

• Ability to articulate complex concepts in a succinct and clear way.

• Integrity, willingness to take responsibility and continuously improve.

• 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.