Quantitative Model Developer (f/m/d)

Deutsche Börse Group; Frankfurt; On-site; EUR 70,000 - 110,000; Full time

Job summary

Deutsche Börse Group in Frankfurt am Main seeks a Quantitative Analyst to maintain and advance quantitative risk, collateral and rating models within Group Credit and Clearstream Risk Management. You will own development, implementation, maintenance and continuous improvement of models and methodologies, reporting to senior management.

You will collaborate with model users and IT, document methodologies, perform model monitoring, calibration and validation, and support regulatory submissions

Qualifications

• Master's degree in a quantitative field.
• 2-3 years of experience in end-to-end development, implementation and validation of credit rating models.
• Strong programming skills in Python and practical exposure to model monitoring and regulatory documentation.

Responsibilities

• Develop, maintain and improve quantitative rating and risk models for credit and risk management.
• Document processes for model maintenance and monitor methodologies and tools.
• Calibrate models, perform impact assessments and report results to senior management.
• Collaborate with model users and IT to align requirements with infrastructure.
• Produce management information for committee reviews and support regulatory submissions.

Skills

Quantitative risk modelling

Model validation

Analytical skills

Communication skills

Team collaboration

Regulatory awareness

Education

Master's degree in mathematics/computer science/physics

Tools

Python (NumPy, SciPy, Pandas, PySpark)

Azure DataBricks

GitHub

Job description

Your career at Deutsche Börse Group

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