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Responsibilities:
Validate all of the models multi-curve frameworks, bootstrapping, prepayment models, the Wholesale Banking book and performing detailed quantitative analysis to assess model performance through analysing model outputs.
Producing validation reports that meet regulatory requirement guidelines and the level of detail (Risk and Limitations of models) when read by senior management, CRO staff, audit and the European Central Bank.
Transform data insights into modelling / business implications and combine with expert insight within standard Economic Capital Modelling Frameworks.
Responsible for the development of Junior team members through training and guidance, in order their enhance their technical and quantitative skills.
Perform a critical review of model development processes and obtained results
Qualifications:
A PhD or Masters in Mathematics, Physics, Statistics, Engineering or an equivalent in other science disciplines.
Experience working in a Model Validation, Pricing or Risk Management role.
Proven experience working with Economic Capital (Value at Risk) and Stress testing models, IRRBB, Liquidity Risk, ICAAP, Operational Risk and Pension Risk.
Knowledge of IR Models in the banking book, QRM/ALM Models.
Experience programming and coding in Python.
Strong communication (both written and oral) and stakeholder management skills, with the ability to present results to a non-technical audience.
Mentoring/Coaching experience
