Credit Risk Model Validation (m/f/d)
We are seeking a skilled and experienced professional to join a team as a Credit Risk Model Validation Specialist. In this role, you will independently validate Wholesale Internal Ratings-Based (IRB) models, ensuring compliance with regulatory standards, and support ongoing improvements in model validation processes. Your expertise in credit risk models, regulatory requirements, and programming will be critical in maintaining and enhancing our rigorous validation framework.
Key Responsibilities
*Conduct independent validation of Wholesale IRB models, including PD, LGD, EAD, and Slotting approaches.
*Collaborate constructively with model development teams to ensure compliance with European Central Bank (ECB) regulatory requirements.
*Work closely with validation teams across the organization to maintain consistency and alignment in validation practices.
*Serve as a Subject Matter Expert on regulatory standards, particularly those established by the ECB, for Wholesale IRB models.
*Act as a key contact for supervisory authorities and auditors regarding the models under your responsibility.
*Lead initiatives to automate validation processes using Python, enhancing efficiency and accuracy.
*Provide mentorship, training, and support to junior colleagues, fostering their professional growth.
Qualifications and Skills
*A master's degree or doctorate in a quantitative field such as mathematics, economics, computer science, or physics.
*Strong knowledge of econometrics or statistics, with proven analytical skills and a solution-oriented mindset.
*Several years of professional experience in developing or validating credit risk models.
*Proficiency in programming languages such as Python, SQL, and SAS, with the ability to automate tasks.
*Excellent organizational and problem-solving abilities, complemented by an independent and results-driven work approach.
*Fluency in English and German, with strong communication skills
FAQs
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