My client, a Tier 1 investment bank, are looking to add manager level model validators with experience working on Credit Risk Models.
Responsibilities
- Carry out independent validation of new and existing credit risk models.
- Review the model development process including assessment of model components against regulatory requirements.
- Provide quantitative assessment of models performance using statistical testing.
- Work with internal teams to improve existing models.
- Manage end to end validation of credit risk models.
Essential Requirements
- Minimum masters degree in a statistical subject including, Statistics, Economometrics, Mathematics or quant.
- Proven working experiene in quantitative modelling or model validation in credit risk.
- Strong regulatory knowledge (CRR, PRA, EBA)
- Great statistical and data analysis skills including SAS, R and C++.
