Manager - Market Risk - Model Validation - Financial Services

The missions of a Model Risk Manager are varied and hinge upon the strengthening of regulatory and accounting requirements related to the supervision and monitoring of risk models. In this context, you will be responsible for conducting internal model reviews concerning market risk models, namely: VaR/SVaR/FRTB, EEPE, CVA, IRC/CRM, and stress-tests.

- Complete the validation missions on the basis of elements developed by the modeling entities of the Group.

- Propose and validate a project plan, including the analyses to be carried out and the quantification of necessary resources to complete the mission.

- Plan and carry out missions to review models that have been developed by the Group's modeling entities.

- Analyze and test methods by using both technical knowledge and critical thinking.

- Conduct quantitative reviews (statistics).

- Manage interactions with the modeling entity.

- Be vigilant in the analysis of the regulatory compliance, robustness and performance of these models.

- Prepare a validation report in order to communicate the conclusions of the review mission.

- Compose and coordinate the writing of the validation document.

- Present the results of the review at the Modeling Committee.

- Ensure adequate documentation and archiving of the analyses carried out.