75,000 - 100,000 EUR
4 months ago
Would you like to be part of a team with experienced and talented colleagues and apply cutting-edge techniques to support establish an active management of model risk through rigorous validation activities? On behalf of our client, a leading international bank - we are now looking for a Senior Model Risk Manager t to strengthen the validation processes of models for the trading book.
Our client is committed to being a partner our customers and society can count on. Compliance and integrity go hand in hand. You will have an impact on how they do banking - today and tomorrow. Bring your ideas, skills, and unique background. With them, you will get plenty of opportunities to grow, collaborate and make your mark on something bigger.
About This Opportunity
Welcome to the Risk and Pricing Model Validation team. They add value by conducting independent model validation activities intended to verify the soundness of models. Risk and Pricing Model Validation focuses on models used in the trading book including pricing, valuation (xVA), market risk, and counterparty credit risk. As Senior Model Risk Manager, you will play a key role in ensuring that models are conceptually sound, mathematically correct, and appropriate for intended business use.
What You’ll Be Doing
- Help ensure robust management of the bank's model risk
- Validate models in the area of pricing, market risk, and counterparty credit risk
- Ensure that models and model validation activities meet regulatory requirements
- Drive and participate in the validation of new and changed models
- Use your technical skills to apply and develop validation techniques to verify that models function well and reflect economic and business realities
- Collaborate with and challenge model owners as well as developers on design and implementation of models
- Work with highly engaged colleagues in Group Risk Management
- Collaborate with colleagues across the goup in reporting validation outcomes to senior management
You’ll join a team of experienced model risk experts, all with a strong mathematical background. The team is highly specialized and works in close collaboration with specialists across the Group. The role is based in Amsterdam, Netherlands and Warsaw, Poland.
Who You Are
Collaboration. Ownership. Passion. Courage. These are the values that guide us in being at our best - and that we imagine you share with us.
To Succeed In This Role, We Believe That You
- Engage in a productive collaboration with model stakeholders
- Are a team player and also master working independently
- Are self-driven with ambition to deliver timely and high quality analysis
- Have an eye for detail, yet able to focus on the big picture
- Are innovative and thrive on challenging multidisciplinary tasks
- Have excellent skills in oral and written communication as well as in scientific writing
Your Experience And Background
- Academic degree - preferably at PhD level or equivalent - in a quantitative field, such as (financial) econometrics, applied mathematics, statistics, physics or similar from a high quality academic institution
- Full proficiency in applying econometric, mathematical and statistical models and techniques
- 5+ year experience in the financial sector working with risk models as developer, user or validator
- Strong analytical skills, and capable of applying multidisciplinary quantitative methods
- Solid experience in programming Python, MATLAB and SQL, but experience in other programming languages is also valuable.