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Quantitative Analyst - Market Risk

  • Location

    Frankfurt, Germany

  • Sector:

    Financial Services and Banking

  • Job type:


  • Salary:

    75,000 - 120,000 EUR

  • Contact:

    Charlie Morris

  • Contact email:

  • Salary high:


  • Salary low:


  • Published:

    8 months ago

  • Duration:

    Permanent Contract

  • Expiry date:


  • Startdate:


The Risk Management Division encompasses the firm's comprehensive risk framework responsible for determining and managing the overall risk appetite for the firm. The division is responsible for effectively managing the firm's risk-return profile which ensures the efficient deployment of the firm's capital. It is one of the firm's core competencies and is independent of the trading areas and operational areas.

The Global Risk Methodologies Group (RMG) has the critical task of owning, developing and validating all the models that are used for computing capital adequacy and reporting for the whole firm under various regulator(s) provided scenarios or internal scenarios.

Role & Responsibilities:

  • Support the firm’s Market Risk Model (IMA).
  • Improve the economic models used in the ICAAP models.
  • Work closely with the local Risk Management and other functions as well as global methodology  Support the bank’s Internal Market Risk Model (IMA); experts to determine business and regulatory needs and ensure the model implementation meets these needs support. the bank’s economic risk models.
  • Keep up-to-date with industry developments and regulatory changes and liaise with global methodology experts to ensure that the firm-wide model development meets local requirements.
  • Tasks include developing methodology, building prototypes, writing technical business requirement documents, performing model testing, ensure compliance with regulatory requirements, and liaising with the model validation group.
  • Problem-solving oriented
  • Act as a  subject matter expert for the developed models and provide support to the model users.
  • Participate in periodic review of models and calibration of model parameters.
  • Support reviews and information requests