Your job
You will be part of the Credit Risk Model Validation team. In this role, you will need in-depth specialist knowledge of credit risk models, methodologies, regulations and business, as well as of the relevant processes. Having exposure to internal and external stakeholders, it is important that you act with confidence, communicate effectively verbally and in writing, and apply expertise for the benefit of the department as well as the wider organization. The Senior Model Validator in this team has main tasks of:
- performing high-quality validations and reviewing the validation work of other validators
- leading large model validation projects
- participating in general projects and decision-making concerning model validation framework, regulatory requirements, policies
- coaching Model Validators and Associate Model Validators
- communicating with stakeholders, i.e. regulator, auditors, management
- acting as a delegate for the Team Lead Model Validation if required.
Your profile
General requirements
- University degree in a quantitative discipline, e.g. mathematics, physics, econometrics or similar, at least at Master level. A PhD and/or additional qualification (e.g. FRM, CFA, CQF certificates) is desirable
- At least 6 years of relevant work experience in a quantitative role in the industry (e.g. modeller, model validator, quantitative risk manager, quantitative consultant) and/or in related research
- Profound expertise in credit risk modelling or validation, relevant regulatory landscape (Basel III/IV, CRR/CRD, EBA standards and guidelines), data validation and modern programming languages, e.g. Python, SAS, and their application in statistical analysis
- Full professional proficiency in English
- You have extensive experience with IRB models
