Model Validation Specialist

Are you strong and experienced Model Validation Specialist? Are you experienced with IRB Models and EBA guidelines? Do you want to work for a leading International Bank? Then keep reading.

The Bank develops its own models and uses these retail risk models for underwriting, A-IRB, IFRS9, forecasting, both for credit risk and non-credit risk purposes.

The validation function is responsible for providing assurance that models are appropriate for the intended use and compliant with internal policies and external regulations as well as providing added value in the ongoing model development and periodic validation of models. Being able to provide an understanding of a model’s limitations & weaknesses to the Management is a core responsibility in this function.

You build relationships with all model stakeholders, including regulators and audit, communicating all requirements and implications clearly and delivering required output to agreed plans and timescales.

Your tasks:

• Validation of all aspects of Retail Credit Risk models, including new developments, model changes and periodic validations

• Challenging data processing, statistical and business soundness of the model and model performance

• Clear, precise and structured reporting of and defending the validation results

• Provide user feedback to improve the model risk framework, including the validation policies and procedures

• Presentation of independent model review of Retail Credit Risk Models to Model Governance Committee

• Maintain knowledge of model risk and regulatory requirements and standards

• Critically assess the operating environment in which models are being developed and deployed

• Presenting of validation results to the Bank’s Model Risk Committee

Your knowledge/experience:

• Qualification in a relevant subject (econometrics, statistics, maths, operational research), with knowledge of advanced statistical and analytical techniques. Holds at least a degree level qualification with quantitative content or equivalent skills derived from experience

• Credit risk model validation experience in an ECB or EU regulated institution

• Knowledge and understanding of regulatory modelling requirements for capital and accounting related credit risk models

• Experienced and competent in the use of SAS, SQL, Python or similar languages/packages.

• Solid knowledge of statistics and econometrics: modelling assumptions, model estimation, statistical model performance testing

Offer:

• A fulltime role with a salary in line with the market and excellent secondary employee benefits.

• Small and efficient team that gets things done

• International environment

• Challenging work environment that thinks outside the box and focuses on what matters

• Space to make an impact and improve the processes

• Work on different models across different risks in line with your development goals and business needs

Are you interested in this role? Then apply as soon as possible.