Risk Model Validation Expert

vor 2 Monaten

Garching bei München, Bayern, Deutschland Deutsche Pfandbriefbank Vollzeit

Job Title: Risk Model Validation Expert

Company: Deutsche Pfandbriefbank

Job Summary:

We are seeking a highly skilled Risk Model Validation Expert to join our team at Deutsche Pfandbriefbank. As a Risk Model Validation Expert, you will be responsible for validating internal rating models for predicting default probabilities and loss rates for real estate financing and public investment financing, while ensuring compliance with regulatory requirements.

Key Responsibilities:

  • Validate internal rating models for predicting default probabilities and loss rates for real estate financing and public investment financing, while ensuring compliance with regulatory requirements (e.g. IRBA and IFRS9).
  • Prepare validation reports and communicate validation results and recommendations with relevant departments at Deutsche Pfandbriefbank.
  • Support projects for the development and enhancement of rating models by conducting initial validations.
  • Collaborate on implementing future regulatory requirements (such as ECB guide to internal models, EBA IRBA validation handbook) by improving and standardizing cross-model validation rules and methods.
  • Represent validations to internal and external auditors.

Requirements:

  • Background in mathematics, natural sciences, or business studies (e.g. Economics, (Business) Mathematics, Physics, or Engineering) with at least 3 years of experience in validation or development of rating models.
  • Experience in data preparation, analysis, and development/validation of statistical models (preferably in credit risk) is a plus.
  • Strong knowledge of quantitative statistical methods.
  • Understanding of banking regulatory requirements.
  • Proficiency in MS Office products and programming languages (e.g. SAS).
  • Excellent German and English language skills.
  • Analytical skills, motivation for independent work, and effective communication as a team player.

Benefits:

  • International bank with a focus on medium-sized businesses, offering short decision-making processes, direct communication, and autonomy.
  • Customized training opportunities for personal and professional growth.
  • Work-life balance with flexible hours, home office options, generous leave, and support services.
  • Modern office facilities with amenities like free parking, cafeteria, and ergonomic workstations.
  • Competitive salary package, bonuses, retirement benefits, and various perks.
  • Opportunity for part-time employment.

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