Risk Model Validation Role - BFS

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

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

You'll be working in the Model Risk Management & Control team. Our team is responsible for the independent validation of risk models

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

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

- proven experience in risk modelling 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

You are:

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