This is where you will work
Our client is looking for skilled Senior Credit Risk Model Validator who has a solid quantitative background and a passion for working with advanced techniques to unlock the valuable information contained within their production and historical data.
As a Senior Credit Risk Model Validator, you will play a key role in ensuring that the bank makes informed, data driven decisions. Your main focus will be to challenge and validation of their Credit Risk models for professional clients covering over EUR 100 billion in exposure. These models are key to the existence of the bank as they form the basis for loan approval, pricing, performance management and regulatory capital.
In your day-to-day job you will work in multidisciplinary project teams. You closely work together with the business lines in order to ensure that the models properly reflect the business and processes. You will decide on the best quantitative methods and techniques to unlock the intelligence contained within the data. You are aware of new and existing regulatory requirements and ensure that these are properly reflected in the models. As a senior model validator you take the responsibility of the model validation process and are actively involved in stakeholder management.
Overall you apply your quantitative skills and experience on various data sets and business challenges, and make a positive impact for the bank and its customers. You will contribute significantly to the success of your team, which includes both junior analysts and medior risk analysts. As a senior you take a leading role in the coaching and development of your team members.
The credit risk models receive significant attention in organization in coming years due to changing regulatory environment, reviewed bank's business strategy and enhanced internal standards. The Credit Risk Model Validation team provides an independent challenge of the quality and fitness of the models employed for managing the credit risks associated with lending activities of our client, including a variety of advanced IRB models (PD, LGD, EAD), application and behavioural scorecard models for different product types and business lines. The outcome of the validation process affects every level of the organisation - from individual client acceptance to strategic decision making and steering.
The Credit Risk Model Validation team consists of 15-20 enthusiastic professionals with very diverse cultural background, academic and working experience. By working within Credit Risk Model Validation team you will be able to enjoy a dynamic and open environment which relies on flexible mindset, open collaboration and discussion, and encourages taking initiative and responsibility.
The team is a part of the Model Risk Management department which consists of four Model Validation teams (Credit Risk, ALM & Capital, Innovation & Projects, and Valuation & Market Risk) and Model Risk Management Office. Together these teams safeguard the Model Risk Management Framework of the bank.
The Senior Model Validator is a member of the Credit Risk Model Validation team. The Senior Model Validator has in-depth specialist knowledge of credit risk models, methodologies, regulations and business, as well as of the relevant processes. Having exposure to internal and external stakeholders, it is important that the Senior Model Validator acts with confidence, communicates effectively verbally and in writing, and applies expertise for the benefit of the department as well as the wider organization. The Senior Model Validator in this team has main tasks of:
- Performing high quality validations and reviewing validation work of other validators
- Leading large model validation projects
- Participating in general projects and decision making concerning model validation framework, regulatory requirements, policies
- Coaching Model Validators and Associate Model Validators
- Communicating with stakeholders, i.e. regulator, auditors, management
- Acting as a delegate for the Team Lead Model Validation if required.
This is what they expect
- University degree in a quantitative discipline, e.g. mathematics, physics, econometrics or similar, at least at Master level. A PhD and/or additional qualification (e.g. FRM, CFA, CQF certificates) is desirable
- At least 4 years of relevant work experience in a quantitative role in industry (e.g. modeller, model validator, quantitative risk manager, quantitative consultant) and/or in related research
- Profound expertise in credit risk modelling or validation, relevant regulatory landscape (Basel III/IV, CRR/CRD, EBA standards and guidelines), data validation and modern programming languages, e.g. Python, SAS, and their application in statistical analysis
- Full professional proficiency of English
- You work well in teams, have good communication skills and are capable to influence the stakeholders
We are offering
- A custom made annual salary (based on knowledge & experience)
- An informal multicultural working environment with great colleagues
- Challenging work on complex and advanced quantitative problems
- Flexible working hours
- A wide range of training opportunities
- Career development and the possibility to gain experience in all areas of risk modelling, in other business areas of the bank, or in one of our international locations
