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Job

Manager - Credit Risk Model Validation

  • Location

    Warsaw, Poland

  • Sector:

    Financial Services and Banking

  • Job type:

    Permanent

  • Salary:

    Competitive + Bonus + Relocation

  • Contact:

    Charlie Morris

  • Contact email:

    chaarlie7@gmail.com

  • Salary high:

    0

  • Salary low:

    0

  • Published:

    8 days ago

  • Duration:

    Permanent Contract

  • Expiry date:

    2021-12-31

  • 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