- 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.
- Carryout the technical review of risk and pricing models by analysing the conceptual soundness and development of the banks internal models, as well as ensuring they comply with the regulation guidelines.
- Perform an in-depth quantitative analysis and the independent testing of the banks trading, risk and pricing models.
- Interact and communicate effectively your findings, recommendations and limitations of the banks models to senior management, CRO staff, Auditors, the European Central Bank (during on-site inspection) and the developers in a non-technical manner - prepared to be challenged
- 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