75,000 - 120,000 EUR
4 months ago
On behalf of an international bank: We are currently looking for a motivated and committed Quantitative Risk Analyst with a specialization in liquidity risk modelling / model validation / liquidity risk reporting to further strengthen our clients' dynamic Market Risk Model Validation (banking book risks) team, which is a part of wider Model Risk Management department. Knowledge of other models within the scope of the team is a strong advantage (e.g. IRRBB capital models, behavioural models, prepayment models).
The role of a Model Validator
As a Model Validator you focus on and further learn about the topics related to the models in your scope, using econometrics, quantitative finance, coding, business knowledge and related regulations. You perform in-depth analyses and write code to perform quantitative assessments. You summarize your analyses and conclusions in clear, fact-based and persuasively written reports, which are presented to the relevant Model Approval Committee. You share your knowledge and effectively communicate with team members and a wide range of internal and external stakeholders. You also have the opportunity to participate in the development of innovative, state-of the-art validation frameworks and coding libraries
- A Master of Science or PhD in mathematics, physics, statistics, econometrics or other relevant quantitative field
- 3+ years of relevant professional experience in a leading financial institution, a model development or model validation team in the financial industry.
- Strong quantitative skills, in particular deep understanding of quantitative modeling techniques, with practical experience with market risk models (ALM, IRRBB, liquidity risk, operational risk, economic captial, stress testing).
- Good IT and programming skills, with practical experience in languages such as Python, R, VBA, SQL
- A strong interest in taking responsibility, developing technical excellence and advancing innovative approaches in ALM/IRRBB/Liquidity Risk modelling
- Key success factors: team player, goal-oriented, commitment, quick understanding, analytical and organizational skills, as well as project management skills.