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The candidates will assess through quantitative/statistical techniques the model conceptual soundness and performance, ensuring adherence with regulatory requirements and alignment with industry best practice. All testing and findings are to be documented in validation reports including recommendations for model improvements.
Your role
*Liaising with head of model validation on topics covering the regulatory requirements of PD and IRRBB models.
*Daily validation of PD/LGD models.
*Continuous improvement of the banks model governance and validation process.
*Daily communication with the model development team and qualitative credit risk team.
The ideal candidate should have:
*1-2 years of experience in primary financial institutions or consulting firms;
*A degree in mathematics/statistics/econometrics (or equivalent) with a strong quantitative background including knowledge of statistical inference and hypothesis testing;
*Previous experience in developing or validating PD or LGD models.
*Additional experience in developing or validating ALM or IRRBB models
*Fluency in Italian and English necessary
*Experience using C++, Python and SAS programming language ideal.
Group Internal Model Validation
- Location Milan
- Job type Permanent
- Salary Negotiable
- Discipline Risk Management
- Reference PR/271252_1596468501
Your role
*Liaising with head of model validation on topics covering the regulatory requirements of PD and IRRBB models.
*Daily validation of PD/LGD models.
*Continuous improvement of the banks model governance and validation process.
*Daily communication with the model development team and qualitative credit risk team.
The ideal candidate should have:
*1-2 years of experience in primary financial institutions or consulting firms;
*A degree in mathematics/statistics/econometrics (or equivalent) with a strong quantitative background including knowledge of statistical inference and hypothesis testing;
*Previous experience in developing or validating PD or LGD models.
*Additional experience in developing or validating ALM or IRRBB models
*Fluency in Italian and English necessary
*Experience using C++, Python and SAS programming language ideal.