Quantitative Model Developer (f/m/d)

Deutsche Börse; Frankfurt; Vor Ort; EUR 70.000 - 100.000; Vollzeit

Zusammenfassung

Deutsche Börse in Frankfurt is seeking a Quantitative Analyst to maintain, develop and oversee quantitative risk models, collateral models and rating models. You will own model development, implementation, maintenance and continuous improvement within the Group Credit and Clearstream Risk Management team.

A successful candidate will contribute to model monitoring, validation, reporting and cross-functional collaboration with IT and stakeholders across regulatory functions.

Qualifikationen

• Master's degree in a quantitative field and relevant experience in risk model development.
• Experience end-to-end in rating models, calibration and backtesting.
• Knowledge of CSDR, CRR, BCBS, MaRisk and regulatory reporting.
• Strong Python skills for data analysis and model automation.

Aufgaben

• Develop, maintain and improve quantitative rating and risk models for credit and risk management.
• Document processes for model maintenance and monitor improvements and findings.
• Review model robustness, perform calibrations and report results.
• Collaborate with model users and IT to support development and testing.
• Provide management information for senior management and committees.
• Maintain relationships with internal stakeholders and regulators.
• Keep an up-to-date model inventory and support routine tasks.

Kenntnisse

Quantitative risk modelling

Model development and validation

Regulatory knowledge

Python programming

Data analysis

Communication skills

Ausbildung

Master's degree in mathematics, computer science, physics or related quantitative field

Tools

Azure DataBricks

GitHub

Jobbeschreibung

This position is limited until 31.12.2027.

Your area of work

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, 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 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 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

• Master's degree in mathematics, computer science, physics or a related quantitative field
• 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
• 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
• Comprehensive understanding of regulatory requirements for rating models (e.g., CSDR, CRR, BCBS, MaRisk), including the preparation of model documentation and support for regulatory submissions
• Strong programming skills in relevant languages (e.g., Python (incl. NumPy, SciPy, Pandas, PySpark,...), or similar) for data analysis, model development, and automation of model processes and strong knowledge in 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