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Assesses correctness of the model implementation regarding Credit Risk.
Assesses the model risk in each of the model components, i.e. inputs (data), modelling methodology, implementation and the model use.
Validation of Credit risk methodology (PD, LGD EAD)
Proposes the actions, such as model reserves, model applicability restrictions, margin of conservatism, specific monitoring actions, with the aim to mitigate effectively the identified model risk.
Writes the validation report according to the validation standards.
Presents the validation findings to model stakeholders and at risk committee meetings, as well as at other meetings within the bank.
Discusses the validation findings with the model owner during the validation projects.
University degree in a quantitative discipline, e.g. (financial) mathematics, (theoretical) physics, econometrics or similar, at least at Master level. A PhD and/or additional. Qualification (e.g. second Master degree in economics, finance or similar) is desirable.
Experience with Credit Risk in a quantitative role in the financial industry (e.g. modeller, model validator, quantitative risk manager, quant developer, quantitative consultant) and/or in related research.
Knowledge, understanding of and experience with time series analyses, behavioural models, econometrics or stochastic calculus.
Experience with modern programming languages, e.g. Python, MATLAB, R and/or database tooling, e.g., SQL, SAS.
Internal Number: 5692512
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