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 and qualitative validation of Credit Risk and IRRBB Pillar I (Basel III/IV) models and a variety of Pillar II models and IFRS 9 models.
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,…
- Initial validation of new Pillar I & II models
- Review of model monitoring produced by the Modeling team
- Annual reviews of Pillar I models and periodic review of other models
- 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
|Catégorie emploi||Finance, Risk|