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Senior Model Validation Quant – Credit Risk Models #191565
Join us as a Senior Model Validator in the Model Risk Management (MRM) team. MRM has a mandate to review and approve the models used in the bank in order to make sure that the risk due to the model limitations and assumptions is properly managed and mitigated.As part of the Credit risk model validation team, you will focus on the validation of wide range of credit risk models ranging from collateral models (like Loan to Value models) to decision making models used for either regulatory capital calculation or internal credit risk management.
As a senior model validator you will, among others review the choice modelling approach, the underlying assumptions, and associated limitations, Perform sensitivity, robustness, and benchmark analyses to test the conceptual soundness and you will assess the performance and efficient use of the model.
Afterwards you will assess if the model is implemented correctly, via independent re-implementation of the model in coding language and you will test the model sensitivity to changes to the inputs and stability.
This role involves continuous interaction and collaboration with business partners from a wide range of internal business areas. The successful candidate will be exposed to a broad and diverse governance framework, which covers an end-to-end process of quantitative models. As part of your role, you will be responsible also for the creation of technical reports, including authoring and presentation of validation reports for the attention of senior management, supervisory authorities, and model business partners.
Your future colleagues
Our team is dedicated, hardworking and used to work independently as well as collaboratively. We work with a high level of integrity, attention to detail and look for a colleague who shares our passion and high standards. We are a department which 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.