Vice President/Specialist - Credit Risk Model Validation/Risk Modelling & Analytics - Investment Bank

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