CAIA's Career Center is an easy-to-use, comprehensive resource connecting job seekers with employers in the growing AI field. Use your knowledge and credibility to advance your career or build a talented team for your organization. Opportunities targeted to CAIA Charterholders are prioritized.
In order to search for jobs specifically for CAIA Charterholders or those pursuing the CAIA Charter please enter “CAIA” in the search panel.
This will enable you to search for CAIA specific roles globally.
Validating risk models, including performing quantitative analyses; Creating high quality validation reports that are read by e.g. senior management, CRO staff, audit and ECB; and Participating in meetings with model developers, senior management, internal & external audit and the European Central Bank.
Your model scope willl be broad and includes: Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models Credit Economic Capital model (INCAP) and the concentration Risk Framework; and Stress Testing framework. In addition, the team has the ambition to expend the scope to non-regulatory models such as underwriting models, pricing, early-warning systems.
These models are used for measuring and managing Credit Risk. In particular, the models in scope are used for calculations of the Loan Loss Provisions (IFRS9) as well as the Economic and the Regulatory (Basel II) Capital.
Who are we looking for? An academic degree (MSc or PhD) in Econometrics, Mathematics, Physics, Economics or another quantitative/numerical field; A minimum of 2 years related work experience with credit risk models (PD/LGD/EAD) Extensive knowledge in modelling/validation in either A-IRB or IFRS9 Programming experience in SAS or another similar programming language.
Additionally, you should have An independent, creative and pro-active way of working; Critical but positive constructive mind-set; A team player; and Excellent communication skills and ability to write clear reports in English.
Internal Number: 4735426
eFinancialCareers is a career site specializing in financial services.