Credit Risk Model Validation Role - Investment Bank

Conduct end to end model validations for credit risk models (IRB, IFRS9, ICAAP, Stress Testing, internal portfolio risk models etc.)

RESPONSIBILITIES:

- Carrying out modeling validation missions, based on the planning and framework defined by the Mission Lead.

- Interact with the modeling entities.

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

- Conduct quantitative reviews (statistics).

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

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

- Contribute and present the results of the review at the Models Committee.

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