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Quantitative Credit Risk Expert

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  • 09.03.2012

“International Advisory Services” is seeking to recruit for its global Risk Management projects – based in Frankfurt School of Finance & Management’s headquarters in Frankfurt, a:

Quantitative Credit Risk Expert

He/She contributes to the development of risk pricing tools and methodology (mainly, but not limited to, expected loss pricing) and of related risk measures, policies and reporting. The expert deals with more technical aspects of risk management, working in close collaboration with our partner institutions Risk Management Divisions. He/she will, in addition and depending on the individual project needs, act as primary interface with IT on the implementation of proposed risk pricing methodologies in relevant applications, ensuring the proper assessment of credit risks.

Responsibilities

  • Support the credit risk assessment and risk pricing process, ensuring consistency in the use of the Loan Grading system, Credit Metrics, and other relevant applications.
  • Advise on the development and implementation of new credit risk policies and mitigation measures; identify new business requirements and ensure their implementation in the relevant applications, including the testing of new releases, in close collaboration with IT.
  • Propose refinements/extensions to the current modeling framework in risk pricing and credit risk quantification.
  • Ensure the correct data implementation of risk management applications.
  • Document, update and report on methodologies underlying the Partner institution’s risk pricing policy.
  • Support the drafting of all regular risk reports, as well as other documents on risk pricing and policy.
  • Participate in the assessment of the quality of the Partner institutions’ loan portfolio.

Qualifications

  • University degree in a quantitative subject (for example Maths, Physics, Statistics...) with some exposure to Finance, or in Finance or Economics with a solid quantitative background.
  • Minimum 3 years of banking experience, including "hands-on" financial or risk modeling experience, ideally gained in a risk-related function.
  • Familiarity with the main modern risk measurement methodologies and management tools. Sound knowledge of credit portfolio models would be preferred.
  • Knowledge in the areas of bank solvency regulation, and/or of risk and capital management (Basel II) would be an asset.
  • Solid knowledge of MS Excel, including VBA. Knowledge of JAVA or any other object-oriented programming language would be an advantage.
  • Good social, cross cultural and communication skills
  • Fluency in English is required, German as well as knowledge of a Spanish, Chinese, French, Russian or Arabic is considered a strong asset


Please apply with your CV and cover letter, stating the reference “Quantitative Credit Risk Analyst” to Sabine Siebenbrock, opportunities@fs.de