Manager - Credit Risk Model Validation
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Location
Warsaw, Poland
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Sector:
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Job type:
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Salary:
Competitive + Bonus + Relocation
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Contact:
Charlie Morris
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Contact email:
chaarlie7@gmail.com
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Salary high:
0
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Salary low:
0
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Published:
3 months ago
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Duration:
Permanent Contract
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Expiry date:
2021-12-31
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Startdate:
ASAP
Hamlyn Williams are supporting an international bank based in Warsaw, Poland who are seeking an experienced Quantitative Analyst/Model Risk Manager to join their Credit RIsk Model Validation function. The role is a for a senior position within the team and would offer the opportunity to mentor/coach junior colleagues, whilst being an expert in the content and a work along lead for the bigger projects within the scope of the team.
Role Responsibilities:
- Initial and periodic validation of regulatory credit risk models (IRB/IFRS9/Economic Capital/Stress Testing)
- Quantitative analysis and review of model frameworks, assumptions, data, and results
- Designing, modelling and prototyping challenger models when required
- Testing models numerical implementations and reviewing documentations
- Checking the adherence to governance requirements
- Documentation of findings in validation reports, including raising recommendations for model improvements
- Ensuring models are validated in line with regulatory requirements and industry best practice
- Tracking remediation of validation recommendations
- Preparation of model risk reporting for Model Oversight Committee and Board
Essential
- You have an academic degree (MSc or PhD) in Econometrics, Mathematics, Physics, Economics or another quantitative/numerical field
- 5+ years of experience within a banking/management consulting environment.
- You are passionate about working with people and developing talents of others make you fulfilled
- You have proven experience in leading and/or coaching in (risk) modelling and/or model validation
- You have extensive knowledge in modelling/validation in A-IRB, IFRS9 and/or
- Credit Decision Models
- You want to be a sparring partner/advisor to Senior Management
- You speak English on a very good level (C1 or above)
- Knowledge of programming languages (SAS, SAS Base, Python, R, Matlab)
- You are excellent team player, persistent, service oriented, people centric, eager to learn
- You would like to work in an international environment focused on creativity and modernity