Model Validation (Market / Operational Risk) – Leading Dutch Bank

Full Time, Permanent
Amsterdam, Netherlands
Posted 2 weeks ago

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My client is a leading bank based in Amsterdam is looking for high potential junior, mid-level & senior candidates to strengthen its Market Risk Model Validation team, covering Trading, Counterparty Credit Risk, Interest Rate Risk in the Banking Book, Liquidity Risk & Operational Risk models.

They now seek a Model Validation for Market & Operational Risk expert who will perform:-

  • Technical review of risk and pricing models. Main focus areas are assessing the conceptual soundness and developmental evidence of a model, as well as the compliance with regulation and performing quantitative analyses & independent testing.
  • Writing high quality, detailed validation reports. These include a model risk assessment and recommendations for model improvement. These reports are shared and discussed with e.g. senior management, CRO staff, internal and external audit, the ECB and other regulators.
  • Preparing reports/ad hoc requests 
  • Interacting with model developers, ECB (e.g. during onsite inspections), senior management internal & external audit, in which your report and recommendations will be discussed and challenged.

The Model Validation expert’s scope is broad and will cover:-

  • Trading Risk models: IMA, e.g. Historical VaR, IRC, Stressed VaR, Event Risk, Economic Capital, Stress Testing. SIMM: standard initial margining model.
  • Trading Risk models: FRTB, e.g. Expected Shortfall, NMRF, SA etc.
  • Counterparty Credit Risk models, e.g. CVA HVaR, CVA EC, Advanced CVA, Wrong Way Risk, Internal Model Method (IMM), SA-CCR, Stress Testing etc.
  • Interest Rate Risk in the Banking Book models: client behavior models (prepayments, savings withdrawals), savings & (mortgage) loan valuation, hedging & replication and risk reporting models (EaR, NPVaR, EVE, Economic Capital)
  • Liquidity Risk Stress Testing models
  • Operational Risk models: AMA

Moreover, this scope will be further expanding over time to also include non-regulatory models (in which machine learning, big data and artificial intelligence play an increasingly important role).

The Model Validation expert:-

  • You are accurate and thorough.
  • You have an investigative and critical, though positive constructive mind set.
  • You are familiar with market and/or other risk related theories/practice (e.g. trading, counterparty credit, IRRBB, ALM, liquidity, operational risks) and like to continuously develop your expertise and knowledge in a dynamic environment.
  • You like to work as both an independent professional and in a high performing team, i.e. be pro-active, have high quality standards, be organized and work according to the planning.
  • You like to write high quality reports in English.
  • You are persuasive, like to interact with model developers and regulators and build positive relationships.
  • You like to work in a validation team and want to further grow, thereby being empowered and adopting an agile way of working

YOU!

 The Model Validation or Model Validator will have:-

  • Has a strong quantitative PhD (or MSc) degree in e.g. (Financial) Econometrics, Financial Mathematics, Quantitative Financial Economics, Applied Mathematics, Statistics etc.
  • Knowledge of Machine Learning and Big Data is welcomed.
  • Is familiar with/proficient in market and/or other risk related topics, e.g. VaR, financial products/derivatives, stochastic calculus, interest rate models, (financial) econometrics, time series models, GARCH, financial economics, liquidity risk, ALM, IRRBB, counterparty credit risk etc.
  • Has experience with empirical model building from e.g. econometrics classes and/or from working in a financial institution (model development and/or validation).
  • Has programming experience in e.g. Matlab, VBA, C++.
  • Has excellent communication, writing & reporting skills in English.

If you are a Model Validation or Model Validator expert looking for your next challenge with a great working environment and the opportunity to excel in a dynamic and agile environment then we would be keen to hear from you.

+ Market Risk Model Validation Model Validator

Job Features

Job CategoryBanking
Base Salary€ Excellent
Job Expiry2019-12-31

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