Counterparty Credit Risk Analyst

Job description

About the Opportunity Are you ready to take the next step in your career at a leading challenger bank? N26 is looking for a Counterparty Credit Risk Analyst to support the risk management of our evolving Treasury products. You will play a key role in the daily analysis and monitoring of Interest Rate Swaps (IRS) and Securities Financing Transactions (SFT) , applying modern technology and rigorous regulatory standards to ensure our treasury investments remain safe and sound. In this role you will: What you need to be successful - 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...