A leading investment bank in Frankfurt is seeking a Quantitative Risk Manager for the Counterparty Credit Risk Portfolio. You would be responsible for validating the valuation and pricing models, whilst developing and contributing to the Counterparty Credit Risk framework to ensure smooth performance of the bank. This is an incredible opportunity to work alongside experts in the market whilst becoming a specialist in your field.
Responsibilities:
- Development of the Counterparty Credit Risk Framework and Methodology
- Validation of Valuation models as well as the portfolio simulation (Monte-Carlo) in Counterparty Credit Risk incl. parameters like PFE, EPE
- Development and implementation of procedures to improve risk-reporting and stress-testing
projects
- Implementation of the models in the bank's own model library
- Work very closely with the Quantitative Risk team in London and the Front Office Trading team, on topics of Model Development and Validation
- Support the CCR processes and contribute to the continuous improvement of it
Requirements:
- Advanced degree or equivalent in a mathematical / physics / econometric field
- Minimum 3 years' experience working in the Risk Controlling or Quantitative Risk function of a
bank
- Advanced programming knowledge of Python, R, C++ or C#
- Strong knowledge of European banking regulations, and exposure to Basel III
- Fluency in English