Our client is a key player in the Luxembourg financial market with activities in Retail Banking, Private Banking and Corporate Banking.
We are looking for a Model Validation Officer to join the Credit Risk Management department.
Job purpose :
Quantitative validation of Credit Risk models mainly related to the Credit Risk Pillar I of Basel III framework and to the IFRS 9 Framework.
That includes :
- development and implementation of model validation processes in compliance with the regulatory requirements in the mentioned topics
- follow-up and formulation of recommendations to improve the different model performances
- contribution to the methodological choices in the model development stages
- Implementation and maintenance of model validation processes (test definition, implementation and maintenance of a validation technical architecture, definition and update of the processes,…
- Review of back-testing exercises produced by the Modeling team
- Realization of the benchmarking annual reports related to the models used in the calculation of the capital charge for the purpose of quantitative validation
- Management of recommendations aiming at ensuring the adequacy and the compliance of models (issue and monitoring)
- Leading validation committee as decision-making body related to model validation
- Production of an annual report on the rating system performance to the dedicated management bodies
- Validation of methodological choices and contribution as an expert to the model review
- University degree in mathematics, statistics, finance or economics (BAC +5)
- 3 years of experience in a similar role
- Knowledge of financial instruments and banking products, banking credit activity, risk management techniques and more particularly risk modeling and Credit Risk management.
- Knowledge of quantitative and statistical techniques implemented in the modeling and valuation of Credit Risk, Rating and credit analysis method. Knowledge of Basel III banking regulation.
- Ability to synthesize, coordinate and negotiate
- Fluent in French and English
- Computer skills : MS Office Suite, Statistical tools (SAS, Matlab, ….) and Business Object.
This is a great opportunity to join an international bank offering a dynamic environment.
If you’re interested in this position, send your application to firstname.lastname@example.org
Successful applicants will be contacted very quickly . Confidentiality assured.
Caractéristiques de l'emploi