Tech Stack

Description

You will develop and maintain models for ICAAP, market price risk, and liquidity risk analysis. You'll conduct stress tests, ensure regulatory compliance with MaRisk and Basel guidelines, and collaborate with Treasury and Finance to align risk strategies.

Requirements

• Degree in quantitative discipline or Business Administration with quantitative focus
• 2–5 years of experience in risk controlling or quantitative analysis in banking/financial services
• Proven knowledge of economic capital models, ICAAP methodology, and capital aggregation
• Strong understanding of market risk measurement (VaR, sensitivities) and liquidity risk metrics
• Solid experience with Excel/VBA and analytical tools (Python, R, MATLAB, or SQL)

Responsibilities

• Develop and maintain models for economic ICAAP perspective
• Quantify and monitor market price risks (especially interest rate risk) using internal models
• Analyze and report liquidity risk metrics including stress testing
• Conduct scenario analyses and stress tests for economic capital and liquidity risks
• Support ICAAP reporting to management and regulators