Credit Risk Quant – Model Validation Consultant (ML)
Out client is a leading consultancy for high profile clients where they perform quantitative credit risk work, often encompassing AI and ML techniques in the data collation phase.
We are seeking two Credit Risk Model Validation experts in Utrecht, to validate an acceptance model using Machine Learning techniques. The project consists of the following:-
- Validation of a PD Acceptance model which uses Machine Learning (ML) Techniques;
- Validation of the Regulatory Capital Model (PD, LGD and CCF) in which Rating System this Acceptance model will be embedded;
- Validation of another Regulatory Capital Model (PD, LGD and CCF) in which Rating System this Acceptance model will be embedded;
- An assessment on the change of the Rating System referred to in 3. (in accordance with EU regulation 529/2014);
- During the Model Validation also the current validation procedures need to be tailored for these kinds of projects. Most time will be devoted on 1.
As a Model Validator the person should have a healthy critical attitude, sufficient skills to be able to assess methodological soundness of the ML model and sufficient knowledge of the regulatory requirements applicable to these models.
If you are interested to know more, then please get in touch or just apply for the position!
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