Quantitative Analysts Modelling / Model Validation – Credit Risk – International firm

Are you passionate about quantitative and regulatory subjects (modelling, model validation, calibration, quantification, stress testing, IFRS9, basel etc?) ? About new problematics linked to climate change and ESG?  Are you specialised in Credit Risk ? Would you like to join one of the international leading firms ?

Missions

Our client, a consulting firm, based in Frankfurt, is looking for a Quantitative Analyst to join a team in charge of credit risk. You will join a team that evolved on a large variety of subjects (modeling, model validation, Stress Testing, PD, LGD, EAD, CCF, IRB, IFRS9, etc.).

– Credit risk modelling in the context of the new regulatory requirements for banks (Basel 2, 2.5 and 3),

– Critical review of methodologies used in regulatory calculations,

– Definition and modelling of target indicators for credit risk monitoring,

– Back testing and stress testing of internal models,

– ESG : quantify climate risks,

– Etc.

Your profile

– 5 years of higher education in engineering or university (specialisation: finance, applied mathematics, statistics, econometrics, etc.). It can be a candidate with a computing background but must have the quantitative approach

– 3 years +of experience in a quantitative position (modelling, development or models validation) in credit risk,

– Proficiency in SAS, R or Python,

– Fluency in English is essential,

– Very good communicator, rigorous and adaptable.

Interested in learning more? Please contact me!