We are seeking a talented and motivated individual to join our client's Quantitative Risk Modelling Team. As a leading unit, you will be responsible for IRB risk models and serve as the primary point of contact for quantitative inquiries within the risk domain. You will be an integral part of the Risk Control department, consistently striving to devise innovative solutions for complex challenges.
Responsibilities:
- Development and backtesting of IRB credit risk models, including data preparation.
- Validation and enhancement of market risk models in the banking and trading books.
- Continuous improvement and automation of processes for periodic model reviews.
- Collaboration with business units on model development to ensure user acceptance.
- Acting as a liaison for internal and external stakeholders, as well as audit firms, on detailed inquiries regarding risk models and methodologies.
Your Profile:
- University degree with a focus on quantitative disciplines, such as (financial) mathematics, physics, data science.
- Extensive experience in the comprehensive quantitative development of credit risk models, particularly in PD and LGD within the IRB context.
- Excellent programming skills in R and SQL, with knowledge of LaTeX and Git being advantageous.