Counterparty Credit Risk Analyst

About the role

In this role, you will be pivotal in analyzing and monitoring the risk associated with Treasury products at N26. Your responsibilities will include managing the credit cycle for Interest Rate Swaps and Securities Financing Transactions, ensuring compliance with regulatory standards, and maintaining the integrity of credit risk data.

You will collaborate with a friendly and diverse team, utilizing modern technology to support the risk management process. Success in this position means effectively monitoring portfolio health and ensuring that all treasury positions align with the defined risk appetite.

The salary range for this role is between $33,750 and $56,250, which reflects the competitive nature of the position.

Skills that matter here

• SQL: Proficiency in SQL is essential for data extraction and analysis in credit risk management.
• Python: Python skills will aid in data handling and automating monitoring frameworks.

Who this role suits

• A professional with at least 3 years of experience in Credit Risk Management, particularly with Treasury products.
• Someone with a quantitative academic background in fields like Mathematics or Finance.
• A candidate who is familiar with regulatory frameworks and has experience in a fast-paced banking environment.
• An individual who values autonomy and enjoys working in a diverse team.

From the employer

• Execute Treasury Frameworks: Manage the day-to-day E2E credit cycle for IRS and SFT, including the operational setup of limits, collateral monitoring, and tracking liquidations.
• Support Model Maintenance: Assist in the calibration and testing of credit risk models (EAD, LGD, EWS), ensuring they accurately reflect risks for clearing brokers and financial counterparties.
• Monitor Portfolio Health: Conduct regular reviews of treasury portfolio performance and perform the necessary calculations for IFRS 9/HGB loan loss provisioning.
• Maintain Process Controls: Operate and update automated monitoring frameworks to ensure all Treasury positions remain within the defined risk appetite.
• Data Stewardship: Manage the quality and lineage of credit risk data, ensuring accurate data flows between internal systems and external reporting sources.
• Support Regulatory Adherence: Prepare documentation and data for MaRisk and EBA compliance, supporting the team during internal audits and supervisory inquiries.

• Professional Experience: 3+ years in Credit Risk Management, specifically focusing on Treasury products like IRS and SFT. Experience in a fast-paced banking environment is a plus.
• Quantitative Academic Background: BSc/MSc in Mathematics, Quantitative Finance, Statistics, or Engineering. Progress toward a CFA or FRM is highly valued.
• Market Expertise: Strong understanding of the mechanics and risk drivers behind centrally cleared swaps and securities financing.
• Skills:
• Credit Processes: Practical experience in credit analysis, portfolio monitoring, and utilizing Early Warning Systems (EWS) for financial institutions.
• Collateral Management: Familiarity with collateral types, haircut applications, and the operational integration of collateral policies.
• Reporting & Provisioning: Competency in internal risk reporting and an understanding of IFRS 9/HGB impairment logic and stage transfers.
• Credit Risk Modeling: Ability to interpret and apply PD/EAD/LGD models. While you aren't building them from scratch, you understand the underlying mechanics and outputs.
• Technical Stack: Proficiency in SQL or Python is a strong advantage for data extraction and analysis.
• Regulatory Knowledge: Working knowledge of CRR and MaRisk frameworks.

• Accelerate your career growth by joining one of Europe’s most talked about disruptors.
• Employee benefits that range from a competitive personal development budget, work from home budget, discounts to fitness & wellness memberships, language apps and public transportation.
• Access to a Premium subscription on your personal N26 bank account, as well as subscriptions for friends and family members.
• Vacation days vary depending on your location of work. Additional day of annual leave for each year of service.
• A high degree of autonomy and access to cutting edge technologies - all while working with a friendly team of peers of diverse nationalities, life experiences and family statuses.
• A relocation package with visa support for those who need it.