Credit Risk - Model Validator
- Amsterdam, Noord-Holland, Netherlands
- Permanent, Full time
- 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.
- 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
- 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.