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Technologies-expected : R Python SAS SQL about-project : Risk Models & Calculations cluster is responsible for: - Development, roll-out and maintenance of group-wide models for credit risk, operational risk, capital requirements and stress-testing (incl. tight monitoring of model performance). We are model owner and 1st line of defense for model risk. - Implementation of models in calculation kernels (e.g. rating models, RWA-calculation, C-Va R, LGD-Service, Op Risk and Stress). - Specification and implementation of rating tools as well as other central risk applications – used mainly by own Front-Ends in the credit process or in online applications. - Calculation of the economic capital requirements (e.g. Credit Portfolio Model, AMA for Op Risk, business- and physical asset risk - incl. stressed conditions). - Basis calculation for risk provisions (especially IFRS9 Stage Assignment and Lifetime-EL) and center of competency for Asset Backed Securities - IT-solutions for recording, management and calculation of the operational risk, tools for and management of the internal control system. -Operational stability of the IT-Applications (e.g. incidents or delays) but also optimization of IT-platform as well as minimization of manual processes. - Tailor-made risk analysis (e.g. scenarios, impact analysis, Ad-Hoc requests) in particular for the management of the current COVID-19 crisis. Professional response on customer requests. -Main contact for regulators, chartered accountant and internal auditors concerning model development and implementation. -Implementation of important regulatory and strategic initiatives: e.g. implementation and fulfillment of new regulatory requirements for AIRB rating models, acceleration of rating calculation, enablement of digital credit journey, improvement of credit decision and streamlining of credit processes. responsibilities : Development and maintenance of AIRB/IFRS9 credit risk models (PD, LGD, CCF) for multiple portfolios or operational risk and climate risk models Group-wide methodological responsibility for quantitative credit risk or operational and climate risk forecasting models Forward-looking construction of a cross-functional methodology architecture Estimation and optimization of separation power, quality of quantification and stability of forecasts and comprehensive uniform calibration on Basel compliant definition of default Ensuring compliance with regulatory/accounting standard requirements (Basel / IFRS9 etc.) and EBA GL Programming of prototypes for impact and scenario analysis in different programming languages (R, Python, SAS, SQL) Data preparation, statistical and empirical investigations, handling of very large amounts of data, their aggregation and evaluation Preparation of technical specifications, presentations and documentation of quantitative credit risk forecasting models Internal and external communication, including auditors, regulators, external partners and rating agencies requirements-expected : Master degree with very good grades in mathematics, physics, econometrics or related fields Very good mathematical-statistical skills as well as knowledge of the mathematical-statistical basis of model development (multivariate statistical methods, stochastic processes, etc.) Minimum 3 years of professional experience in banking, preferably within risk modelling or validation Very good knowledge of data modelling software and coding (Python/R, SAS/SQL) with experience in analysis of huge data sets For credit risk model developers: knowledge of regulations from credit risk models area (CRR, EBA GL, IFRS9) English C1 level benefits : private medical care sharing the costs of professional training & courses life insurance remote work opportunities flexible working time integration events corporate sports team retirement pension plan preferential loans no dress code video games at work coffee / tea leisure zone pre-paid cards redeployment package employee referral program extra leave Multisport Skills@Work - personal & professional development program Employee Assistance Program (psychological support) E-learning platform: OReilly, library, tutorials