Risk Analyst - Model Validation (f/m/d)

Risk Analyst - Model Validation (f/m/d)

Deutsche Börse AG | Frankfurt, HE, DE

Posted 7 days ago

Apply Now


Your career at Deutsche Börse Group

Your area of work

Model Validation provides independent effective challenge of models, applying financial theory and quantitative methods. The main task is to assign model risk according to validation guidelines, as well as develop appropriate validation methods, employ validation instruments on a regular basis and perform ad-hoc model reviews in light of a changing regulatory environment and market conditions. Your primary role is to drive and participate in the validation of risk models in scope of the regulatory requirements such as ICAAP risk models, internal credit rating assessments and haircut models. Working on these tasks include the collaboration with model developers, the IT department, and other internal and external stakeholders.

Your responsibilities

  • Development and continuous maintenance of validation concepts as well as appropriate quantitative and qualitative methods for regulated models in scope
  • Carry out initial as well as regular and ad-hoc validations of regulated models within Risk Management and independently assess their adequacy
  • Engage with model owners and development experts to ensure model risk is properly addressed
  • Deliver model validation analysis and reports in support of senior management and committee review, challenge the risk positions
  • Review and update guidelines and documentation, ensuring compliance with relevant internal policies, standards, and regulatory requirements
  • Collaborate with internal and external auditors

Your profile

  • Graduate degree or PhD in a financial or quantitative discipline
  • At least 3 years of relevant work experience, preferably in model development and/or model validation
  • Good understanding of financial markets, financial products, as well as the regulatory landscape (CSDR, MaRisk, ECB guide to ICAAP, CSSF circulars)
  • Sound knowledge of statistical and econometric methods and their application
  • Well-developed analytical skills, as well as high results orientation and good communication skills
  • Efficient team player with a high degree of organizational self-reliance
  • Good programming skills (e.g. Python, R, Java), experienced with databases (e.g. SQL) would be an asset
  • Experience in writing business requirements and specifications
  • Proficiency in written and spoken English, German or French language skills would be an asset