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Senior Model risk Audit specialist

Senior Model risk Audit specialist

  • Location

    Amsterdam, Netherlands

  • Sector:

    Risk Management , Audit & Finance

  • Job type:

    Permanent

  • Salary:

    Negotiable

  • Contact:

    Meisy Jango'an

  • Contact email:

    meisy

  • Job ref:

    49059

  • Published:

    about 1 year ago

  • Expiry date:

    2020-10-24

  • Consultant:

    #

Senior Model risk Audit specialist 

You would support the Model Risk Audit Team to expand coverage to the full spectrum of corporate model inventory.

Your tasks will consist of well-known validation and test techniques for both regulatory (e.g. AIRB, VAR/Expected Shortfall, IMM) as non-regulatory models (amongst others: credit application, Pricing/Valuation, IFRS models). Machine Learning models is part of non-regulatory model

Do you have good analytical, interpersonal, time management, project management, research and communications skills?

Requirements: 


Qualifications; Phd or Master's degree in Statistic, Financial Engineering, Economics, Finance, Mathematics, or a related quantitative finance field

  • You should have Financial Services industry experience with 5+ years of experience in Public Accounting, Advisory Services, Consulting, or Banking sector. It's a plus to have exposure to risk analytics, model validation, risk consulting, counterparty credit risk, credit risk liquidity risk, interest Rate Risk and / or Treasury Risk.
  • Solid statistical knowledge and excellent quantitative modeling, analytical, research and programming skills (C++, R, Python, SQL, Matlab, Tableau)
  • Understand the interest rate risk management in the banking book and trading book risk management. Experience with credit risk models or Pricing/Valuation, IFRS models
  • Strong written and verbal English communication skills - Dutch is a plus!
  • Good project management skills, with the ability to work independently on multiple tasks and/or projects