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Model Validation Quant (CECL/IFRS9/Stress Testing) #209059
As a Model Risk Validation Quant in the Model Risk Management team, you are responsible for technical and high-quality validations of large-scale projects of new model development in the area of credit risk, specifically in the area of CECL and IFRS9 models in provisioning, and stress-testing models for standard and structured credit products.
You will be conducting independent validation reviews of business-impactful models, meeting business needs and regulatory expectations, with the responsibility for investigating key aspects of each model under review, e.g., the choice of modelling approach, the underlying assumptions and associated limitations, performance, and optimal use of the model.
As a specialist you form an independent expert opinion on the mathematical consistency of the model, its suitability for the intended use, the accuracy of the model and its proposed implementation, model performance, as well as quality of the data which is used in modelling process. This role also involves continuous interaction and collaboration with stakeholders from a wide range of internal business areas. You will be exposed to a broad and diverse governance framework, which covers an end-to-end process of quantitative models.
The findings of the validation are presented in a technical validation report, including authoring and presentation of validation reports for the attention of senior management, supervisory authorities, and model stakeholders. Model Validation has a mandate to escalate the issues to the Chief Risk Office of the bank.
Your future colleagues
You will work on models across all banking division within a global, dynamic, technically highly skilled, and motivated team. The department values Diversity and Inclusion (D&I) and is committed to realizing the firm’s D&I ambition which is an integral part of our global cultural values.