Credit Risk - Model Validator

  • 40-95k
  • Amsterdam, Noord-Holland, Netherlands
  • Permanent, Full time
  • PiC
  • 17 Apr 19

An excellent opportunity for a Credit Risk Model Validator to join a global investment bank in the Netherlands. This is a fantastic opportunity to gain highly transferable skills.

Job description:

  • Assesses correctness of the model implementation regarding Credit Risk.
  • Assesses the model risk in each of the model components, i.e. inputs (data), modelling methodology, implementation and the model use.
  • Validation of Credit risk methodology (PD, LGD EAD)
  • Proposes the actions, such as model reserves, model applicability restrictions, margin of conservatism, specific monitoring actions, with the aim to mitigate effectively the identified model risk.
  • Writes the validation report according to the validation standards.
  • Presents the validation findings to model stakeholders and at risk committee meetings, as well as at other meetings within the bank.
  • Discusses the validation findings with the model owner during the validation projects.
  • Stakeholder management

 

Requirements:

  • University degree in a quantitative discipline, e.g. (financial) mathematics, (theoretical) physics, econometrics or similar, at least at Master level. A PhD and/or additional. Qualification (e.g. second Master degree in economics, finance or similar) is desirable.
  • Experience with Credit Risk in a quantitative role in the financial industry (e.g. modeller, model validator, quantitative risk manager, quant developer, quantitative consultant) and/or in related research.
  • Knowledge, understanding of and experience with time series analyses, behavioural models, econometrics or stochastic calculus.
  • Experience with modern programming languages, e.g. Python, MATLAB, R and/or database tooling, e.g., SQL, SAS.