4 months ago
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?
- 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 2+ years of experience in 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