Credit Risk Model Validation (m/f/d)
Our client, one of World's leading corporate banking groups, is expanding it is capacity in Europe significantly, and as such is growing its risk department accordingly. The head of risk is currently looking for a model validator for their Frankfurt office, who will be responsible for ensuring that the credit risk models are accurate, reliable, and meet regulatory requirements while working closely with stakeholders across the organization to validate models, identify and assess risks, and recommend appropriate actions to mitigate risk exposure.
Responsibilities:
-Validate credit risk models to ensure that they are accurate, reliable, and meet regulatory requirements
-Develop and execute testing plans to assess model performance, including stress testing, back-testing, and sensitivity analysis
-Analyse model results and assess the effectiveness of risk management strategies
-Communicate validation findings to model developers and stakeholders across the organization
-Identify and assess risks associated with credit risk models and recommend appropriate actions to mitigate risk exposure
Qualifications:
-Bachelor's degree or higher in mathematics, statistics, finance, economics, or a related field
-Proven experience of at least four years in credit risk model validation in a financial services
-Knowledge of regulatory requirements related to credit risk modelling, including Basel II and III, CCAR, and stress testing
-Experience in complying with ECB and/or BaFin
-Experience with Probability of Default is a must, experience with Loss Given Default and Exposure at Default is welcome
-Familiarity with financial products such as loans, derivatives, and securities, and the associated risks
-German knowledge is a big plus
