Model Validator

  • 33323
  • Life - Other
  • |
  • Netherlands
  • |
  • Feb 14, 2018
  • Assure that models are reliable, perform adequately and are compliant with internal policies and evolving external regulations.
  • Increase the understanding of a model’s limitations and weaknesses.
  • Contribute to ongoing model improvements by e.g. challenging the underlying assumptions.
  • Publish detailed validation reports that address these objectives, summarizing the model and its limitations, thereby issuing recommendations for model improvement.
  • Has a strong quantitative PhD (or MSc) degree in e.g. (Financial) Econometrics, Financial Mathematics, Quantitative Financial Economics, Applied Mathematics, Statistics etc.
  • Knowledge of Machine Learning and Big Data is welcomed.
  • Is familiar with/proficient in market and/or other risk related topics, e.g. VaR, financial products/derivatives, stochastic calculus, interest rate models, (financial) econometrics, time series models, GARCH, financial economics, liquidity risk, ALM, IRRBB, counterparty credit risk etc.
  • Has experience with empirical model building from e.g. econometrics classes and/or from working in a financial institution (model development and/or validation).
  • Has programming experience in e.g. Matlab, VBA, C++.
  • Has excellent communication, writing & reporting skills in English.