Quantitative Risk Modeler
Vor 5 Tagen
About the Opportunity
Our client, a leading financial institution, is seeking a skilled Quantitative Risk Modeler to join their team. In this role, you will be responsible for assessing and enhancing existing IRB credit risk models to improve Probability of Default (PD) and Loss Given Default (LGD) estimation.
About the Team
The Quantitative Research Team is dedicated to developing and validating market risk models for internal applications, including pricing models for structured products and Value-at-Risk (VaR).
Your Responsibilities
- Process and analyze large datasets to support the development, validation, and testing of financial models.
- Design, develop, and validate market risk models for internal applications.
- Assess and enhance existing IRB credit risk models for PD and LGD estimation.
Requirements
- A degree in Mathematics, Statistics, Finance, or a closely related quantitative field.
- Proficiency in SQL, R, LaTeX, and Git.
- Strong expertise in the development and validation of IRB credit risk models (PD, LGD) and market risk models.
- Excellent analytical skills and structured thinking, with a passion for quantitative methodologies.
- Native-level proficiency in German is a must.
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