Model Validation Role - Credit/Market Risk - Investment Bank

- Must Have Model Validation or Model development exp in Credit risk, market risk, firmwide risk - Investment Banking ( Global )

- Carry out project-based independent model assessments in line with the model governance policy, supplementary documents, and regulatory requirements, notably

- Assess the model's conceptual soundness and methodology

- Check appropriateness of input data, the model assumptions and parameters, the accuracy of the model calibration, as well as of qualitative or expert adjustments, etc.

- Review outcome, impact, or benchmark analyses or develop a benchmark model (as appropriate)

- Assess model risk, perform model robustness analysis, and identify and evaluate model limitations

- Document the assessment to required standards

- Interact and discuss with stakeholders (model developers as well as senior model owner and model governance bodies)

Your team :

- You'll be working in the Market and Firmwide Risk team of Model Risk Management & Control (MRMC). Our team is responsible for the independent validation of all market and firmwide risk models used within.

- The model universe covers market, revenue and consequential risk models including regulatory capital, economic capital, stress testing and other risk management applications.

Your expertise :

- A Master's or PhD degree in financial mathematics, statistics, econometrics, or a related quantitative field

- Proven experience in risk modeling or model validation, e.g. of market risk, business risk, stress.

- The ability to apply quantitative techniques to solve practical problems

- An understanding of financial markets, regulatory landscape, and financial accounting

- Very good communication skills and the ability to explain technical topics clearly and intuitively, both written and orally

You are :

- Proficient in econometric models and statistical modeling software (e.g., Matlab, R, SAS, STATA)

- Co-operative and team-orientated, while being able to motivate and organize yourself and complete tasks independently to high quality standards

- Fluent in English, oral and written