Market Risk Validator
Consultant Ton van der Kooi
Datum 25 juni 20192019-06-25 2019-08-24 banking Amsterdam North Holland NL EUR 80000 120000 120000 YEAR Robert Walters https://www.robertwalters.nl https://www.robertwalters.nl/content/dam/robert-walters/global/images/logos/web-logos/square-logo.png
Do you want to be part of a leading, international and innovative bank? Are you an experienced Risk Validator with good quantitative skills? Then keep reading.
As a model validator your key responsibilities are:
Technical review of risk and pricing models. Main focus areas are assessing the conceptual soundness and developmental evidence of a model, as well as the compliance with regulation and performing quantitative analyses & independent testing.
Writing high quality, detailed validation reports. These include a model risk assessment and recommendations for model improvement. These reports are shared and discussed with e.g. senior management, CRO staff, internal and external audit, the ECB and other regulators.
Preparing reports/ad hoc requests for e.g. the Executive & Supervisory Board, CRO staff.
Interacting with model developers, ECB (e.g. during onsite inspections), senior management, internal & external audit etc, in which your report and recommendations will be discussed and challenged.
Your model scope is broad and includes:
- Trading Risk models: IMA, e.g. Historical VaR, IRC, Stressed VaR, Event Risk, Economic Capital, Stress Testing. SIMM: standard initial margining model.
- Trading Risk models: FRTB, e.g. Expected Shortfall, NMRF, SA etc.
- Counterparty Credit Risk models, e.g. CVA HVaR, CVA EC, Advanced CVA, Wrong Way Risk, Internal Model Method (IMM), SA-CCR, Stress Testing etc.
- Interest Rate Risk in the Banking Book models: client behaviour models (prepayments, savings withdrawals), savings & (mortgage) loan valuation, hedging & replication and risk reporting models (EaR, NPVaR, EVE, Economic Capital)
- Liquidity Risk Stress Testing models
- Operational Risk models: AMA
Moreover, this scope will be further expanding over time to also include non-regulatory models (in which e.g. machine learning, big data and artificial intelligence play an increasingly important role).
Market Validation is responsible for validating the risk models worldwide. The key objectives are:
1) assuring that models are reliable, “fit for purpose”, perform adequately and are compliant with internal policies and evolving external regulations.
2) increasing the understanding of a model’s limitations and weaknesses.
3) contributing to ongoing model improvements by e.g. challenging the underlying assumptions.
Who are we looking for?
- You are accurate and thorough.
- You have an investigative and critical, though positive constructive mind set.
- You are familiar with market and/or other risk related theories/practice (e.g. trading, counterparty credit, IRRBB, ALM, liquidity, operational risks) and like to continuously develop your expertise and knowledge in a dynamic environment.
- You like to work as both an independent professional and in a high performing team, i.e. be pro-active, have high quality standards, be organised and work according to the planning.
- You like to write high quality reports in English.
- You are persuasive, like to interact with model developers and regulators and build positive relationships.
- Has a strong quantitative PhD (or MSc) degree in e.g. (Financial) Econometrics, Financial Mathematics, Quantitative Financial Economics, Applied Mathematics, Statistics etc.
- Knowledge of Machine Learning and Big Data is welcomed.
- Is familiar with/proficient in market and/or other risk related topics, e.g. VaR, financial products/derivatives, stochastic calculus, interest rate models, (financial) econometrics, time series models, GARCH, financial economics, liquidity risk, ALM, IRRBB, counterparty credit risk etc.
- Has experience with empirical model building from e.g. econometrics classes and/or from working in a financial institution (model development and/or validation).
- Has programming experience in e.g. Matlab, VBA, C++.
- Has excellent communication, writing & reporting skills in English.
- A market conform salary (depending on relevant knowledge and experience).
- A 40h (or 36h) working week.
- A 13th month.
- A public transport ticket for the Netherlands
- Possibilities for training
Are you interested in the role of Market Risk Validator? Then apply as soon as possible.