A European Investment Bank is looking to expand its growing Credit Risk Model Validation team in Utrecht. You will play a critical role in leading the development and validation of the banks internal models to ensure that they are compliant with the internal policies and external regulations, but also that they are operating as intended. You will be expected to work alongside and communicate with Senior management, CRO staff, Audit, Regulators and other Quant teams. The team is prestigious with the majority of them holding PhDs and a number of years in Front office quant positions
- Perform an independent validation of IFRS9, new and existing IRB credit risk models that are used in risk management, capital calculation, stress testing and business use.
- 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.
- Review regulatory and industry practice for IFRS9, IRB and other Credit Risk Models
- Manage and complete the model validation from end to end, meeting the planned timelines and required standards.
- 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.
- Attend Credit Risk Model Assessment where the report is being presented for approval Regulatory & Business Conduct.
- Perform an in-depth quantitative analysis and the independent testing of the banks credit, 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 onsite 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.
- Minimum 5 years' experience working in a financial, building and/or validating risk models
- Strong knowledge working with IFRS9, IRB and other Credit Risk models.
- Experience programming and coding in Python, SQL or C++.
- Strong communication (both written and oral) and stakeholder management skills, with the ability to present results to a non-technical audience.
- Mentoring/Coaching experience