Senior Specialist - Risk Frameworks (Credit Risk Models)

About the role

Deutsche Bank Risk in Madrid is looking for a Senior Specialist to manage its credit risk models. You will be the main contact for Spanish credit risk models, linking Spain with the Model Development and Model Validation teams and ensuring high-quality data for model recalibration. The role also takes part in international projects, bringing the Spanish portfolio perspective to global initiatives.

Key responsibilities

• Act as the primary contact for Spanish credit risk models, coordinating with Model Development and Validation teams throughout the model lifecycle.
• Coordinate and support model development, recalibration and validation so that local portfolio characteristics, data and business context are reflected.
• Ensure data quality for recalibration: identify issues, inconsistencies or gaps and drive their resolution, and prepare, reconcile and control data before recalibration and validation.
• Act as the central interface between local Credit Risk, model developers, validators and other stakeholders, coordinating requests, analyses, validation findings and follow-up.
• Contribute to the governance and documentation of PD and LGD models, giving local input and keeping key topics transparent.
• Take part in international and cross-country projects, representing the Spanish perspective and helping translate global modelling requirements into the Spanish portfolio context.

Required profile

• Experience in credit risk models for retail portfolios, focused on Expected Credit Loss (IFRS 9) and capital (RWAs).
• A strong understanding of IFRS 9, CRR3 and new Definition of Default regulations is highly preferred.
• Degree in Business Administration (ADE), Engineering, Science or a related field, with solid knowledge of risk parameters in advanced risk models (IRBA) under CRR.
• Background in credit risk management or consulting is desirable.
• Excellent written and verbal communication in Spanish and English, and proven ability to use AI tools responsibly.

Required skills

• Deep knowledge of SAS and/or Python is highly recommended.
• Strong quantitative and qualitative credit data analysis skills.
• Good organisational skills, multitasking and process improvement awareness.

What we offer

• Mental health support, including counselling and initiatives on mental health.
• Physical health support, such as gym discounts and annual medical check-ups.
• Social benefits, including various paid and unpaid leaves and a hybrid remote-working option for some positions.
• Financial benefits, including meal allowance, pension contribution plans, employee banking services and a flex compensation programme.