Risk Methodology Senior Specialist (f/m/x)
Core
Developing and calibrating credit risk parameters (PD, LGD, CCF) and rating methodologies for retail and wholesale portfolios to support regulatory capital calculations and credit decisions.
Role type
Senior quantitative risk methodology specialist (credit risk)
Builds
Regulatory-compliant credit risk models and parameter frameworks for Deutsche Bank Group
Domain
Banking / Credit Risk / Regulatory Capital (Basel III/IV)
Deliverable
production ML models | product features
Required skills
Credit risk parameter modeling (PD, LGD, CCF), statistical programming (SAS, Python), large dataset processing, regulatory compliance (EBA, CRR, Basel III/IV), quantitative analysis
Preferred skills
Master's or PhD in quantitative disciplines (Mathematical Finance, Statistics, Econometrics)
Technologies
SAS, Python
Responsibilities
Develop, calibrate, and maintain rating models for credit risk parameters; Implement EBA requirements and regulations for IRB-A credit risk parameters; Resolve regulatory and internal findings related to credit risk methodology; Process large datasets for model development and statistical analysis; Analyze underlying data to identify and address deficiencies; Perform extensive data and statistical analyses to quantify credit risk.
Seniority
Senior, hands-on IC