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Vice President/Specialist - Credit Risk Model Validation/Risk Modelling & Analytics - Investment Bank (7-12 yrs)
VP (Diversity only) - Credit Risk Model Validation - Risk Modelling & Analytics Specialist at an investment bank
Your role:
Carry out independent validation of models by:
- Assessing the model's conceptual soundness and methodology
- Checking appropriateness of input data, model assumptions and parameters, calibration accuracy as well as of qualitative or expert adjustments, etc.
- Reviewing outcome, impact, performing benchmark and robustness analyses
- Identifying model limitations and evaluating overall model risk
- Documenting the assessment to required standards
- Interacting and collaborating with stakeholders such as model developers, users, model governance representatives in order to safeguard the quality of our model risk management framework
Your team:
You'll be working in the Model Risk Management & Control team responsible for the independent validation of the credit risk models used for Pillar-I, CCAR, IFRS-9 and internal and external stress testing (including climate risk stress testing)
Your expertise:
- Master's or PhD degree in quantitative Finance, Mathematics, Statistics, or quantitative Economics;
- 7+ years working experiences in model validation or model development, preferably in a bank or a consulting firm.
- Knowledge of financial markets and products, strong interest in the financial services industry, preferably in risk management.
- Knowledge and experiences in statistical and economic modelling techniques, ie. Linear regression, logistic regression, probit regression, time series, error correction model etc.
- Experience in low default portfolio modelling/ validation would be preferred.
- Strong coding skills in R, Python, Excel or similar
- Excellent analytical skills
- Curiosity and a thirst for innovation
- Fluent in English, oral and written.
- A team player with strong interpersonal skills
- Motivated, well organized and able to complete tasks independently to high quality standards
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
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