Model Validator

  • 34271
  • Life - Data Science
  • |
  • Netherlands
  • |
  • Sep 21, 2018
Bank
RESPONSIBILITIES
  • Performing the validation for quantitative models, including banking book models (client behavior and ALM/IRRBB models), IFRS9 and ICAAP/ILAAP models used within the company, independent from model owners and business users
  • Performing an assessment on the model’s integrity, including the performance of the model and the ongoing appropriateness of its specification
  • Present the model validation opinion, encompassing both quantitative and qualitative assessment of the model to the company’s model validation committee
  • Work closely with model validation teams and modelling team
  • Developing and implementing policies and guidelines in areas such as economic capital, stress testing, credit risk, interest rate risk, liquidity risk and model risk management
  • Assessing financial transactions that have impact on the bank’s risk profile
  • Assessing the SREP process of the company, including ICAAP and ILAAP
  • Providing risk reports to the ALCO and other risk committees
  • Performing model validation for financial risk, ALM and capital models within the company
QUALIFICATIONS
  • A university degree (PhD or MSc) in a quantitative field (econometrics, mathematics, physics or engineering)
  • At least 3 years working experience in relevant fields (financial modelling or risk management in financial industries);
  • Programming experience in e.g. Matlab or R;
  • Strong analytical skills, and result driven;
  • Excellent communication, writing and reporting skills.