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Job

Credit Risk Model Validation

  • Location

    Luxembourg

  • Sector:

    Financial Services and Banking, Quants, Risk

  • Job type:

    Permanent

  • Salary:

    Competitive

  • Contact:

    Michael Dobbins

  • Contact email:

    m.dobbins@hamlynwilliams.com

  • Salary high:

    0

  • Salary low:

    0

  • Published:

    4 months ago

  • Duration:

    Permanent

  • Expiry date:

    2023-04-26

  • Startdate:

    ASAP

Hamlyn Williams is currently working on an excellent opportunity for one of our largest banking clients, this role would be a great next step for an experienced individual with a background in quantitative risk, specifically in model validation, looking to develop their career in the Financial Services. 

The Role Responsibilities

  • Subject-matter-expert in relation to the IRB/IFRS9 model validation and IRB model regulations (such as PRA rules, EBA rules, HKMA requirements) across all asset classes (with focus on wholesale and commercial portfolios PD, LGD and EAD models)
  • Perform an independent validation of new and existing models that are used in risk management, capital calculation, stress testing etc.
  • Qualitative review of model development process including underlying assumptions & theoretical basis.
  • Quantitative assessment of model performance via data evaluation and statistical testing.
  • Documentation of validation findings and communication of results to senior management and presentation to relevant committees.
  • Coordination with internal stakeholders on model issues, achieving suitable resolutions.
  • Manage and complete the model validation from end to end, meeting the planned timelines and required standards.
  • Recommend improvements in the models.
  • Review regulatory requirements and industry practice regarding the models.
  • Assist Head of Model Validation in addressing concerns or questions relating to the models.

Qualifications:

  • Experience: Solid Working knowledge as a quant in the financial industry
  • Qualifications: MSc/PhD in a quantitative field;
  • Knowledge: Excellent mathematical skills, including stochastic calculus, probability and statistics;
  • Skills: Implementation work will require strong knowledge of programming in Python, C++ or other appropriate language
  • Competencies: Excellent communication skills, both oral & written; ability to organize time, work to a plan, and finish all tasks accurately and on time; strong motivation and desire to learn; team working.
  • Fluency in English and French/German

If this is a role of interest and you think you are a someone who fills the criteria detailed above please submit an application to this advert and a team member of Hamlyn Williams Risk (EMEA) will reach out yourself and discuss the intricacies of this mandate and similar to this in the market.