ALM//Liquidity Risk//IRR Model Developer
In your role, you will work on the development of revenue projection models (PPNR, pre-provision Net Revenue) for the most important business areas, which are to be used for strategic planning and stress tests. You will therefore have a bank-wide view of these processes as well as the opportunity to take on a central role in this growing specialist area and to work with partners in various business and infrastructure areas of the bank.
Your work environment promotes open communication embedded in a solid feedback culture and offers a wide range of opportunities to find a balance between the demands of the world of work and personal and family demands.
Specific responsibilities:
- Responsibility for individual models or model components (development, approval, implementation, ongoing maintenance/monitoring).
- You drive development activities, communicate with relevant stakeholders in the business areas, Treasury, Finance, Global Technology, Risk and Model Risk Management, prepare modeling decisions, and write the model documentation.
Personal and professional requirements:
- Doctorate or master's degree in a quantitative discipline, e.g., applied statistics/mathematics, economics, econometrics, computer science, etc.
- Strong quantitative skills, including excellent knowledge of the R programming language, as well as other programming environments such as Python, SQL, experience with information visualization and data analysis, statistical modeling experience in topics such as regression analysis, predictive models, simulation, and optimization methods
- Several years of professional experience with the development of complex mathematical and statistical models in international teams
- Knowledge of the deposit, loan, treasury, ALM, liquidity, and interest rate risk fundamentals, as well as relevant dependencies as well as a solid understanding of the various business areas of banks, are of great advantage
- Strong relationship management skills, including the ability to cooperate with multiple business partners and colleagues on status quo inquiries, correct influence, and collaborative search for solutions
- Excellent written and verbal communication and presentation skills in English
