Counterparty Credit Risk Analyst

About the role

This role focuses on managing counterparty credit risk within N26's Treasury department, specifically for Interest Rate Swaps and Securities Financing Transactions. The analyst will be responsible for the end-to-end credit cycle, including setting up limits, monitoring collateral, and tracking liquidations. A key aspect of the work involves ensuring that all treasury investments adhere to strict regulatory standards and remain within defined risk appetites.

The position requires continuous monitoring of the treasury portfolio's performance and conducting necessary calculations for loan loss provisioning under IFRS 9/HGB. The analyst will also support the maintenance of credit risk models by assisting with calibration and testing, ensuring these models accurately reflect risks associated with clearing brokers and financial counterparties. This involves a blend of operational execution and analytical rigor.

Success in this role means maintaining robust process controls through automated monitoring frameworks and ensuring the quality and lineage of credit risk data. The analyst will also contribute to regulatory adherence by preparing documentation for MaRisk and EBA compliance, supporting internal audits and supervisory inquiries. The ideal candidate will thrive in a fast-paced banking environment, applying both technical skills and a deep understanding of market mechanics to safeguard treasury investments.

The annual salary for this position ranges from $33,750 to $56,250 USD.

Skills that matter here

• SQL: Proficiency in SQL is a strong advantage for extracting and analyzing credit risk data from internal systems.
• Python: Proficiency in Python is a strong advantage for data extraction and analysis related to credit risk monitoring and reporting.
• Credit Processes: Practical experience in credit analysis, portfolio monitoring, and utilizing Early Warning Systems is essential for managing the E2E credit cycle.
• Collateral Management: Familiarity with collateral types, haircut applications, and operational integration of collateral policies is required for daily monitoring.
• Reporting & Provisioning: Competency in internal risk reporting and understanding IFRS 9/HGB impairment logic is necessary for portfolio health reviews.
• Credit Risk Modeling: The ability to interpret and apply PD/EAD/LGD models is important for supporting model maintenance and understanding underlying risk mechanics.

Who this role suits

• You have at least three years of experience in credit risk management, specifically with Treasury products.
• You possess a strong quantitative academic background, such as in Mathematics or Quantitative Finance.
• You are detail-oriented and meticulous, capable of managing data quality and ensuring regulatory compliance.
• You are comfortable interpreting and applying complex financial models and regulatory frameworks.

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.